I just happened to receive this reply from Henry today:
Thank you for your interest in Henry rifles.
Our .45-70s do not use locking lugs; instead they use a locking bolt.
The .45-70 action is a strong as the modern Marlin 1895 action, and can use the same ammunition.
Technical Customer Service
So I should be okay if I decide to use the HSM +P loads (which HSM states are safe to shoot in Marlin 1895s).
Again thanks for all the good advice!
BH63
FYI, that's a change in policy. They wouldn't say buffalo bore was ok to use when they first came out. The 430gr at 1900 fps are interesting.