Yeah, having Eileen and Walter here at once would probably get to Henry the most. He saved her damnit! He may not have been able to save anyone else but he saved Eileen and Walter isn't getting his hands on her! He'd be more worried about her than himself - though he'd also be attempting to reassure himself with constant thoughts of 'I killed him once....I killed him once....'
Yeah, that's one of the main reasons Henry has been so hesitant to tell Frank any details about what happened. He doesn't want to lay that on him. :/