Henderson opened his account for the season after Rovers goalkeeper Jake Kean spilled the ball under pressure from Jamie Mackie, who was alert to lay the ball for Henderson to emphatically lash home from 20 yards.
The result means Forest have won the three games they have played this season in the Sky Bet Championship and Capital One Cup and Davies was understandably delighted.
"We've still got to work around Henderson and we know that," Davies said.
"There's things we have to add and change but he's a player that you've seen today can put in an outstanding performance and lead the line.
"It was a wonderful goal. It wasn't an easy ball to take. It was a very good finish."
The win was Forest's first at Ewood Park since 1999 and was warranted, according to Davies.
He said: "I think we deserved it. This was a very close encounter.
"They're a difficult side to play against with these balls up to (Leon) Best but I thought we controlled the ball very well in the first 45 minutes and should have been in front with (Radoslaw) Majewski's very good chance.
"The second half was end-to-end but overall you get what you deserve and I thought Henderson got what he deserved with his performance."
Rovers boss Gary Bowyer accepted his team did not play as well as in last week's draw against Derby but felt the players deserved credit for the spirit they displayed during the game.
"It wasn't a classic of a game but I thought we showed fighting qualities and we pushed Forest as close as we possibly could," Bowyer said.
"In my opinion, they're one of the favourites with the manager they've got and the money they've got, so we've got some positives to take.
"We haven't played as well as we can. With the ball in the first half, we looked nervous with some making their home debuts.
"We settled down a little bit more in the second half and I always thought it was going to be a set-play, a wonder strike or a mistake that wins that type of game and so it was."
The defeat means Rovers remain winless in three games this season but Bowyer remained positive, and they could have scored a goal of their own in the first half but for a wayward Jordan Rhodes header.
He said: "We've got to keep showing the football that we played last Sunday with the ball and the fighting qualities we've shown today, piece them together game by game and see where it takes us.
"I think the fans will know we haven't played as well as last week but what they can't fault is the effort and fighting qualities that they showed today. A lot has been said in past seasons about our fighting qualities but you can't knock the players about that today. They gave everything."