Something else to consider, Regina raised Henry since he was a baby. If Henry started making his favorite toys float while he was in his crib, I think that’s something Regina would have mentioned to him. So I actually believe Regina when she says that he’s not magical.
But there was no magic in Storybrooke when Henry was a baby, so there was no way Regina could’ve noticed the signs. Regina herself couldn’t even perform magic before Rumple dumped a bottle of true love potion in the well at the end of S1. Also, Henry hasn’t been living with Regina under the same roof since very early S2. She offered to teach Henry magic in S2, which must mean she at least thinks Henry is capable of it, even if he hasn’t shown an “early spark” the way say Zelena did.
"That’s how you know you’ve really got a home. When you leave it, there’s this feeling that you can’t shake. You just miss it." Neal Cassidy