I really like your reading of this, Reeba; I hadn't thought about it that way before. It seems like he's more astonished than anything else - as you said, he believes she's capable of using better sense, and he didn't expect her to so lead herself astray. We know from this and the next chapter that whatever he's feeling, though, it isn't anger or real disappointment. Oh, what a Henry! :)

Chapters 25-26 are possibly my favorite in the whole book because of the way Henry reacts.