The .45 Colt brass is quite a bit heavier than the .44-40 brass, and less likely to be deformed. It will also last longer.
Another thing to consider is the availibility of suitable bullets. It's much easier to find bullets for the .45 Colt than it is for the .44-40, which are pretty much limited to 200 grain, if you can find the right diameter.
I know a whole bunch of .45 Colt shooters in our Cowboy Action group, but only know one who shoots the .44-40. If it were me, I would opt for the .45 Colt, and use Round Nose Flat Point lead bullets for the Henry. You can get them from 165 grains up to 250 grains.
Hope this helps.
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