Hens don't necessarily know that what you consider a proper nesting location is that. Ours have laid in my tool box (lower opening), behind my Chop saw, under the sandpaper cabinet, and outside in the leaves - I also have found three wild bird nests in my workshop.
Birds know what they like and many know how to build nests way better than we can!
We had three hens go broody at once, they each picked a different spot and raised eight healthy chicks. I'd bet your Henrietta would have done fine if you hadn't found her.
Here are some pitchers of nests I built or put together:
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