Henry has been your personal guard for a long time. Even if a lot of person see you as a childish and spoiled princess, he see as a playful and gentle person. He couldn't deny your annoying behavior, but he would do everything to get you whatever you want. After a few time, he has grown a soft spot for you. He would convince himself that it was nothing but he's duty to be gentle with you and that his feeling were only professional, but it was obvious that he like you.