Henry moved to Ewood Park temporarily on Wednesday and his switch created much debate at the Boleyn Ground, with many Hammers supporters questioning why their only January arrival was allowed to depart.
Henry was expected to come in at West Ham as cover and concerns have been raised about whether his move to Blackburn leaves them short of options at the back.
However, Allardyce has made a clever move by allowing him to leave the club to get some first-team action.
The transition to English football can be a tough one for even the most high profile of players, but Allardyce has given his new recruit the best chance of doing so by allowing him to start in the Championship.
Henry is likely to play a big part in the rest of Blackburn's season, where the pressure is off, and can start to become accustomed to the tempo of play in this country.
Rovers look set to claim a mid-table spot in England's second tier and it means that Henry has stepped into the ideal environment.
At West Ham, tensions are still running high and throwing him into a team that is low on confidence and off form would surely have been an error.
Allardyce would have been asking a lot of Henry to acclimatise to life in the first-team at this stage of the season and he has done the right thing by moving him out.
Henry can now settle in England out of the limelight and when he returns to West Ham for pre-season he will then be better placed to start challenging for a first-team role next season.