Friendship seems like a weird thing when it comes to Henry. He never really had friends before joining the Shepherds, gaining the companionship he desired from plants and animals. He talks about killing and death so nonchalantly; one would wonder whether he'd care at all if he or one of his companions died.

In his Support with Ricken, Henry discussed Plegian soldiers the Shepherds had killed. Henry knew many of them, and recalled facts about their lives. One had given him a bag of peaches each time he saw Henry, and considered Henry part of his family. Another had expressed to Henry how excited he was to command his first post. Their deaths didn't sadden Henry.

In Panne and Tharja's Supports, Henry says that he will kill Chrom and the rest of the Shepherds to make them happy; he thinks that's what Panne and Tharja want. They of course want nothing of the sort, but Henry feels a misplaced loyalty toward them, and will do anything to make them happy. Since Henry is so carefree with death and is willing to kill anyone, it's difficult to imagine Henry being loyal to anyone.

I think it's not about being loyal to a side or a country, though; it's about being loyal to a friend. People who Henry actually connects with and forms actual friendships with gain his loyalty. Chrom didn't really take an opportunity to get close to Henry. The two don't share Supports. We should assume that he didn't get close to the Plegian soldiers he remembers, either.

Henry tells Ricken that he would be sad if Ricken died in battle, and not only that, but he would find who was responsible and kill them. Henry is quick to throw a curse off of Tharja and send it back to its sender. Henry cries and shows actual emotion when he thinks Olivia is in peril.

Henry makes a good, loyal friend to those he gets close to. Beware to those who don't befriend him.