DDG has been a great keeper for us, so any error he makes is measured against a very high standard he has set. His form has dipped and he's made a couple of big errors that I don't remember him making in the past, but you can dig out clangers from the archives for almost any top keeper. His form hasn't been helped by the defensive mess we started to suffer in Mourinho's third season. He's still one of the best two keepers in the EPL (with Allison nowadays).
It's unusual to have three keepers of such ability in contention, although it's generally accepted that Romero won't ever be in line for the permanent no.1 spot, so the dilemma with Henderson is an unusual one. The ideal situation is Henderson continues to benefit from playing in the top half of the EPL at a young age and eventually replaces DDG as a ready-made, homegrown top keeper, possibly with experience in the England first team.
It depends on whether Henderson is willing to be patient and go with that kind of plan. He's exceptionally lucky to have gone on loan to a club that gained promotion and has overachieved in its first EPL season, given also that he wasn't Mourinho's favoured reserve keeper - that was Joel Pereira, and Grant was brought in as well. He's the second youngest keeper in the EPL, so he has plenty of time as keeper's careers go, but also is clearly very ambitious and may not be prepared to wait until his late 20's if an opportunity arises elsewhere.
Henderson benefits as a keeper from a very different style of defending at Sheffield United. Replicating his form in a much more counter-attacking Utd team that expects to return to ECL is a different proposition and we'd be foolish to part with a proven top keeper like DDG on the basis of two good seasons at a newly promoted side that could suffer second season syndrome and suddenly everyone is talking differently about him. Nevertheless, his athleticism and ability in the air are genuine, regardless of the system he's playing in.
If Sheffield Utd are happy to have him on loan again next season and Henderson is happy with the arrangement, it works for us. Beyond that is guesswork, but I would stick with DDG unless his form really takes a persistent drop, with Romero as number two in the kind of role he performs very well at the moment. I'm also not convinced by the play-out-from-the-back sweeper keepers in the EPL - it's worked for Liverpool but Ederson has made some real howlers.