I think the notion that if you're an elite player, you'll find it difficult to become a top manager is true.
Plus, Henry always acted like he's God's gift to humankind and such an attitude doesn't help.
Personally, I was sickened by the way he brushed aside Wenger in favor of Pep. He wants to be like Pep when he should be emulating Wenger's elite level of man management. Henry's already a football legend. Like Zidane, his man management alone would enable him.
Pep isn't the greatest man manager but he's an elite-level technical coach and tactician. Wenger is more of a strategist than a mitculous tactician. Pep gets away with it a lot because his coaching is second to none. Henry possibly couldn't be stupid enough to try things Pep's way.
Pep has also had issues with the dressing room before. Even at City, the owners had to step in and help reconcile the differences between Pep and Aguero.
Henry comes off as too smug and aggressive. That's an easy way of setting yourself for failure.