Open action, fill tube, put a round in the open ejection port, close lever, good to go. Not sure why that is some huge mystery either.
When I load a Henry, I just follow a procedure. I make sure the gun is empty, and then I close the action and lower the hammer on the empty chamber. I think about this every time. At this point, I don't care about muzzling my hand while I load. I never try to load "+1". Whatever fits in the magazine tube is it.
The owner's manual counsels against loading with the action open. Here's what can go wrong, and I learned this the hard way (not like I read the manual before it happened to me). If you open the action and the lever moves from its extreme open position, the carrier is then loose. On a new rifle, this might not happen because the lever might not move at all when the action is all the way open and you flip the rifle over to load it, but when the rifle is slicked up from use, it might move a little. When you flip the rifle over, the carrier can possibly fall all the way up, reaching a position that is impossible when it is actually carrying a round. In that position, the tab on the bottom of the carrier that is supposed to block the magazine tube is not long enough to the job, so the rim of the first round you load might slide underneath it, jamming the carrier in the up position. If it does that, you're locked up. You can try banging on the side of the receiver with your palm to knock it loose, but on the majority of occasions when I've had this happen, I had to loosen things up by removing the lever to get it to drop out. Once I even had to loosen the carrier screw.
You can still load with the action open if you do one of the following:
1. Don't flip the rifle over to load it. Instead, extend the magazine tube while holding the rifle at a slight angle and push the rounds up into the loading port on the magazine tube from below.
2. Flip the rifle over, but before you do, insert a spent casing or a piece of foam or whatnot into the receiver to block the carrier from falling too far. I haven't tried this. The spent casing option might be convenient enough.
3. Flip the rifle over to load, but forcibly hold the lever to its extreme open position while you do.
I suppose you can also load with the muzzle pointed straight up, dropping the rounds in so that each one slams into the previously loaded round. The carrier is not likely to move that far with the gun oriented that way. With flat points or hollow points it's unlikely to set a round off, but you might make a dangerously hot load out of a normal one by causing a little bullet set-back. All I know is that I feel a lot more comfortable muzzling my hand.