IMO, there's nothing wrong with this TYPE of name - one that is not so much a traditional first name, but which has been adapted from a surname (in both cases) and/or from a place name (in the case of Henley). Some people don't like these types of names, but they do have a long history (including in the UK, most so in Scotland) and both of these names are nice sounding.
I'd have some concerns mainly because any name no matter how short and easy to say will likely get abbreviated at some point, and neither Hed (head) nor Hen (maybe not as strange outside of Scotland, where it's kind of a universal way to address a woman or girl - "you all right, hen?") can be a bit strange. Henley also makes me think of a "Henley" shirt/jumper.
The things I've said, and other posters have said, don't need to be dealbreakers if you've considered them and still love one of these names more than anything else you've found. For me personally, I'd choose Henley over Hedley.
Just in case you're looking for suggestions, have you considered Hendley? (OK, it's a perfume company in the USA, but I don't think they're known internationally).