compact
The Henry's are not very big rifles, and a full size centerfire scope seems odd on one to me (looks wise) and a bit clunky as well. Leupold mfg's a pair of compact scopes, intended for rimfires. I'd look at their rimfire compact model, the Leupold fixed 4x, maybe since your rifle is a .22 mag, a 2-7x rimfire compact. The rimfire models sell a bit cheaper than the std centerfire Leupold's seems to me.
If you don't want a lot of magnification, the Leupold 2.5x compact is another petit scope that would not look out of place on a rimfire. I ran a 2.5x on a 10/22 for a long time and found it plenty of scope for the distances I normally shot .22 long rifle.
I recenly came up with a Henry .22, and am toying with the idea of one of the Hi-Lux, William Malcom short tube scopes, but not sure if there are dovetail rings to match the odd diameter of the Malcolm's. Pricey too!!