Yes, that's called a squib load and very dangerous should you not detect one and keep shooting. People have been killed by squib loads. It's basically putting an obstruction in the barrel and a following shot with that bullet still in the barrel can raise pressures to the dangerous level, even in a 22.
As for cycling, if Henry rates a 22 rifle for being able to cycle 22 Shorts, 22 Longs and 22 LRs, I can't see any issues cycling the CB versions of those loads. A CB is basically same case and bullet, just no powder. I'm not Henry, of course, but I suspect Henry doesn't want the liability with squib loads. Just guessing, here, so might be worth a call to Henry.
As for me, having shot CBs in a variety of different rifles, I highly recommend using a rifle action when shooting CBs that makes it easy to peer down the bore when you suspect something, such as a bolt gun with an easy to remove bolt or a break barrel single shot or even one of my classic falling block single shots. A lever gun is a different story. Not easy to inspect the bore unless you have a bore light, handy.
