As for this "Henry being caught" stuff, I think I understand it now.
People who don't really understand the game (not their fault, it takes some getting used to) spend most of their non-possession time holding R1 and chasing the ball around (because hey, R1 makes you faster right? And you want that ball back, right?). This means that even players that began the game with full stamina are coughing and wheezing by the 25 minute mark. The next time they go to play a through ball to Henry, guess what? He is tired from having been pulled out of position constantly to ball chase.
I think once people learn to play a more defensively relaxed game, this problem will vanish (it has for me).
PE4 plays so much better than PE5 in my opinion.
In PES4, formations didn't matter very much. It was very easy to know very little about positioning, body placement or anything really and still dribble around players and string together passes without thinking about it. The best way to play PES4 was just to load up on offense, make sure you have most of your team around you at all times, and just keep running back and forth and passing in any direction until you walked into the box, hit square and scored. If you lose the ball somehow just foul them. PES5, on the other hand, is a more thoughtful, strategically oriented team game where formations matter because bodies on the field matter so much more (in turn, it matters which direction and where your weight is when passing, and it is actually possible to play proper defense and cut off lanes etc etc... formations become viable again and frankly, multiplayer games go from a cynical joke (PES4) to open-ended and organic team play experiences, just like real soccer).