Wealdstone suffer a second 4-1 defeat on the road in just two games.
Tobi Adebayo-Rowling opened the scoring after 14 minutes.
Henderson doubled the advantage just after the break before Tarryn Allarakhia put the hosts out of sight.
Jack Cook pulled one back with 15 minutes left before Aidan Barlow sealed the deal late on.
Neil Gibson made four changes to the side that were defeated by Tamworth in midweek. Sam Ashford, Connor McAvoy, Alex Dyer and Anthony Georgiou all returned to the starting XI.
The Dale started the game strong, and were ahead after just ten minutes when a clinical passing move saw Adebayo-Rowling played through on goal, who slotted through the legs of Luca Gunter to put his side ahead.
Rochdale were inches away from doubling their advantage, had it not been for a goal-line clearance from Ashford, after a corner had been flicked on at the near-post.
With the game still relatively in the balance, a crucial decision was given by the referee, just one minute before half-time.
With Alex Reid bearing down on goal, what looked to be a push in the back of the Stones striker, inside the area, was waved away by the official, leaving Reid in disbelief.
The hosts looked hungry for a second goal, coming straight out of the blocks after half-time with a barrage of pressure on the Stones goal.
A whipped in cross found the veteran forward Henderson at the back-post, who could only smack his header off the post and out of play.
But with the second goal looking inevitable, Henderson would not make the same mistake a second time round.
As a punt from the Dale goalkeeper Sam Waller came flying down the pitch, Henderson was the quickest to latch on to the late bounce, dinking it over Gunter and into the back of the net.
With the Stones holding on, the hosts looked to seal the game. Allarakhia picked up the ball on the left-side, cut inside and smashed an effort into the top corner, before showing a muted celebration against his former side.
With 15 minutes remaining, Gibson’s side pulled a goal back when Cook was on hand to power a header past Waller from a Georgiou set-piece.
But with the hosts still looking the stronger side, they sealed the deal with five minutes left on the clock.
Substitute Barlow latched onto another ball over the top of the Stones defence and poked past Gunter to put his side out of sight.
Wealdstone return back home next Saturday when they face Eastleigh at Grosvenor Vale.
WEALDSTONE XI: Gunter, Cook, Grant, McAvoy, Boldewijn, Sohna, Dyer, Georgiou, Kretzschmar, Ashford, Reid.