Glad to hear you are OK.
You should continue to follow up with CCI. I had a minor problem several years ago with some CCI rimfire ammo, and their support response was good.
They did request that I ship the remainder of the ammo back at my expense. That annoyed me, but I guess they get a lot of spurious calls, and they need a deterrent against people who complain about nothing. At the end, they sent enough replacement ammo that I was satisfied.
Your situation is entirely different and more serious than my case, and I am sure they will follow up on it.
I have a couple of other thoughts. First, I am not sure I understood your first post correctly. Did the first two shots sound normal, or did they sound strange?
Also, are you sending the rifle back to Henry? I would recommend doing so. Since it is a lever action, it is not prone to fire out of battery like a semi-auto. But it is still possible that a headspace issue contributed to the problem. It is also possible that the rifle has been damaged. Overall, I think this was almost certainly an ammunition problem. But I also think that Henry would want to look at the rifle, and if they want to see it, I would send it to them.
Once again, I am really glad that you are OK. Whenever I see someone take a shot without safety glasses, I always know that they have never seen a serious firearm malfunction. And I usually take the time to tell them about incidents like this one.