I didn't get that vibe from the interview.
My take from this snippet of the interview (which is a good read in general), is that Henderson saw (and still sees) the LGBTQ cause as one worth fighting for. And the interviewer notes that he's actually put sincere effort into it, beyond generic quotes from football clubs that his peers rubber stamp. The laces and armband part was dim (that's bare minimum) but he seems to be someone that has genuinely offered support behind the scenes to different LGBT causes and organizations, in an effort to help, as an ally. Including calling a lower league/non-league player to offer support.
I'm just not getting the message "I've worn the laces, what the feck else do they want from me" from Henderson in this interview. He moved for the money, he sincerely supports LGBTQ people (no, playing in Saudi Arabia is not a litmus test), and as a result is in an awkward situation.
I think you're giving him far too much credit. Also, the interview was a complete car crash. I'm not sure what he was trying to achieve by doing it, other than, once again, demonstrating that he's never really understood the LGBT causes he's claimed to champion, or indeed why this community is upset that he moved to Saudi Arabia.
There's a whole bit where he basically says it'd be disrespectful for him to "wear the armband" or voice his (supposed) views in Saudi Arabia, with him repeating time and again that he believes his mere presence in the country as someone (supposedly) with these views was somehow good. This of course ignores the other side of that coin, in which the Saudis have managed to silence one of the only vocally LGBT supportive players.
However, and I think more telling of his actual understanding of the whole thing, was this bit:
I’m not a politician. I never have been and never wanted to be. I have never tried to change laws or rules in England, never mind in a different country where I’m not from. So I’m not saying that I’m going there to do that.
What exactly does he think he's been doing then, if not trying to drive change for these people? He hasn't a clue. His understanding begins and ends with "rainbow = good", but he even acknowledges (repeatedly) in that interview that he can't even go that far in Saudi Arabia, or he'll be seen as disrespectful.
As for the "laces" bit, I once again think you're giving him far too much credit. He claims to have "gone above and beyond to help" then his immediate examples are wearing rainbow accessories and speaking to people. There's no mention of him doing anything of any actual substance. There's obviously some benefit to having a high-profile sportsperson supporting your cause, even if it is only superficially, but that all goes out of the window a bit when their next career move is happily accepting money from a state that criminalises their very existence. It's all well and good him saying he does understand the criticism, but he's clearly not understood anything about his involvement in these causes.
Another example of his incredible lack of understanding was when he started talking about Qatar. He says something along the lines of, "everyone said it was horrible, but we went there and only saw good things." The interviewer then points out that they would have been shown a very manufactured, carefully staged image of the country, and his response his essentially, "yeah, but I had a good time."
I actually think he'd have been better off admitting that he went for the money, but in that very interview he denies that he did, and instead waffles a bit about building something and driving change (despite not saying or doing anything to drive such change).
To give him the benefit of the doubt, let's say he was and is very sincere in his support for LGBT causes. I don't think that really changes anything when it's clear he doesn't really understand them. Many see his superficial support as about as useful as no support.