As part of Keane's Uefa Pro-Licence, he has linked up with the New Zealand squad as they prepare for Saturday's international in Wellington.
And both Henry and captain Richie McCaw have been impressed by the presence of the former Manchester United and Republic of Ireland captain.
Henry said: "He has been great, great to talk to, very bubbly. Richie had lunch with him today, I don't think they chatted about leadership at all, but they chatted about their experiences.
"Roy has got a few of those which are good to listen to, and it's good to have a guy of his esteem in the group that he can share some experiences with.
"Everybody knows him and respects him for what he has done in sport, and it's great that he chose, along with Ricki Herbert, to be here with the All Blacks as part of their requirements for their final coaching certificate in football."