Typically, when someone is caught in the Dark Curse, it gives them a new name along with their new memories. Is it possible that Henry retains his birth name because he was born in the Land Without Magic?
That is an interesting thought. He's the first LWM character whose been cursed, so it could be true. He might also have retained his name, but not his memories due to the nature of the curse. However, we don't know if this is actually the Dark Curse. It could be, but I think it's most likely multiple curses. If it is the Dark Curse, Henry having his birth name could be a clue to him being the one who cast it, but since all the people Henry loves most are alive, it seems very unlikely.