I've had several variants of both Henry and Marlin.
I don't believe _any_ .22 levers load from a side gate. Muzzle-end, buttstock, or detach mag are your options. The muzzle-end loading is fine once you get used to it. A side-gate variant would be really annoying, trying to jam 18 rounds through it all day. With the muzzle-loading you can just pour them in.
My vague impressions:
Marlin: little heavier, very solid walnut/steel construction. Little stiff in all the ones I've tried.
Henry: little lighter if compard to Marlin carbine, _much_ lighter if compared to Marlin full-size 39A .22. Hardwood stocks, steel main parts, aluminum receiver. Not really a big deal, as almost every .22 receiver on the market is aluminum (Marlin, Ruger, etc). Lever is _far_ lighter due to being a totally different link system, invented in the 1960s vs. 1860s.
I'd just try 'em both and go with your gut. Or pocketbook as the case may be. The base Henrys go for $208 at Academy Sports chain-stores. Marlins go around $400 new.
Good luck,
-MV