There are a few possibilities that have and haven't been mentioned.
This seems too weak to be planned, unless it was meant that way. From what we see on the Canadian preview and prior shows
Zeke, Ethan, and Henry (I'll call him that for now) all have superiors. On the preview, Henry says the bearded guy is "nothing". I can only assume Zeke as the bearded guy. Ethan reported to other people in the medical hatch. Henry says that they will kill him in the previews.
Focusing on Henry, he is not an imposing person and doesn't seem like an incredibly intelligent man. Zeke led both the kidnapping of Walt and the trade of arms for Kate, so we can assume he has some field prowess. Ethan made mincemeat of everyone until Charlie shot him. But Henry? He doesn't have many redeeming qualities outside of being sneaky, and I doubt that would be of much good to the Others.
So, could Henry simply be a pawn? Danielle has been there for over a decade, and is this the first other she's caught? We don't know, but logically, they would know about the traps by now if they are so smart.
Henry seems to be a bottom of the food chain guy, we never saw him before. I'm willing to believe that they would use him as a pawn possibly. Maybe to infiltrate the camp. He has many uses no matter what and minimal loss is made
A. He is shot as soon as he gets close by Danielle: Nothing
B. He is taken into the camp, interrogated, then killed: The Losties gain some nerves about these people again, a reminder
C. He is taken into the camp, interrogated, and he is there long enough to cause disruptions. Say, between Jack and Locke? That may be worth it, to cause a disrpution
D. He is taken in, interrogated, there for a while, and then his cover story is blown. He does A-C, but he also is able to tell them about how bad the Others are, instill doubt and scare them
E. Suppose Sayid isn't suspicious, and they let him stay. He is the new Ethan without the problem of the manifest. He is their scout, and he could cause a lot of havoc.
Of course, he could have simply been trapped by mistake, but I doubt it, too simple for a group that seems to have an upperhand strategically.
I agree, there is no reason to make up a story that can be disproven. He could have said that "I am (name), my partner Henry Gale died in a balloon accident when we crashed to the island". They find Gale, they find the balloon, nothing to disprove the story.
Also, if he were caught and kept for days, and he has a backup story given by the Others meant to keep him alive, why would they keep the ID on the body?
Something doesn't ring right here...
Bob Factoid: The fishercat is the only creature known to have gone completely insane chasing its own tail.