henrys are fine rifles. i am the type that would want to match a handgun to my rifle so i would ask myself what i am trying to accomplish. if you are going to use the rifle for hunting as well as pleasure shooting then i would opt for the 44 mag. ammo easy to find, powerful and match it to a ruger super blackhawk single action revolver.
if you like cowboy shooting i'd go for the 45. the 45 is a great cartridge and can be loaded to compare to 44 mags so it is still practical for hunting. also there are ALOT more western handguns to match it to if you want. the 45 gives you the ability to shoot milder loads if you like or come close to the 44 mag. be careful if you pair it up with a handgun and shoot the hot loads that your handgun can also handle them. or keep the hot loads seperate so you don't shoot the wrong load in the wrong gun.
as for the smaller calibers, if it doesn't start with a 4 i'm not interested.
ya only got 1 arm and ya carry 3 guns for Christs sake. Well I don't want to get killed for lack of shooting back.