No, Henry does not die. Here's what happens in Season 3, Episode 12 ("Brave Heart"):
Henry collapses and is rushed to the hospital, where doctors discover he needs a pulmonary valve replacement - a complication from heart surgeries he had as an infant (he had 5 surgeries before his first birthday).
John Nolan faces a tough choice: a safer short-term repair vs. a riskier long-term surgery with a 20% mortality rate. He chooses the more permanent fix.
The surgery is tense, but Henry survives.
His recovery is slow, and he appears less frequently in later seasons, which is why some viewers wondered what happened to him - but he is alive.
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