Henry is a propped up against a wall, right around the corner from where Shinobu is laying. Not too far away, but he probably wouldn't have seen her right before sleep overtook him.

She'll wake up before he does, or at least he takes a little longer in stirring awake. The dream apparently took a bit of a toll on him, despite his usual ability to bounce back after a traumatic stumble into his subconscious. He seems to be struggling, similar to how she probably remembered seeing him for the first time.