I am a bit confused by the Henderson situation (not getting another loan).
My best guess now is that the club believe Henderson can offer a level of competition that will either push De Gea to get back to his best or be replaced.
Henderson will have to work very hard in his distibution with the ball anyway. I don't think Sheffield United had much focus on that the last couple of years.
Maybe Romero will head out now on loan or a longer term move.