I note two of the census returns you mention, on
https://www.scotlandspeople.gov.uk there are 3 baptisms/births for a George with the father David but none in the Borders. The nearest being
GEORGE OGILVIE HENDERSON parents DAVID HENDERSON/MARGARET CREADIE
21/01/1810 Leith South but no Adam Or David, so unlikely.
If I am correct Mary's parents were William & Margaret, so they may have followed the English/ Scottish Naming pattern, for their parents but not necessarily.
1841 Seaton Sluice
HENDERSON George M 30 Colliery Lab Scotland
HENDERSON Mary F 25 Northumberland
HENDERSON David M 8 Northumberland
HENDERSON William M 6 Northumberland
HENDERSON Margaret F 1 Northumberland
1861 Seaton Sluice
HENDERSON George 53 Labourer Bottle Factory Scotland Roxburghshire
HENDERSON Mary Wife 48 Northumberland Alnmouth
HENDERSON Jane Dau 20 Dressmaker Northumberland Seaton Sluice
HENDERSON John Son - 11 Scholar Northumberland Seaton Sluice
HENDERSON Joseph Son - 9 Scholar Northumberland Seaton Sluice
HENDERSON Ann Dau - F 4 Scholar Northumberland Seaton Sluice
Colin