I think Henry might have attended Llandaff Cathedral School before he went to Stancliffe Hall. In 1899, The headmaster at Llandaff, Rev Ernest Owen, left to become headmaster at Stancliffe Hall, almost all the pupils apparently following him there - the school magazine of 1906 mentions ".... as nearly all of Mr Owen's boys went with him to Derbyshire [leaving only one boy remaining]"....
As Henry came from Cardiff, it does seem likely that he started out at the Cathedral School. Unfortunately, it isn't possible to check this at the school, as the surviving school register only begins in 1899, with the next headmaster.