] What do other people make of this speech of Henry's when he finds out what Catherine has been thinking?

and I have probably misunderstood you, but isn't he still being ironic here?

]'every man is surrounded by a neighbourhood of voluntary spies'...And, in 1798, the neighbourhood was full of voluntary spies as a result of the reaction to the French Revolutionary wars.

Even the depths of Gloucestershire? Having lived in a small English village as a teenager, I assure you there does not need to be anything so sinister as a politically driven spying network for Henry's comment to be true!!