Well, we don’t really know for sure if they take Henry to NL, we just assume it because of the episode titles. It’s possible that the Home Office GOAT work for is a subsidiary and the headquarters is actually on another realm – not unlike Wolfram & Hart from Angel – and that’s where GOAT will take Henry to.
But even if their destination won’t be NL, I could see the finale ending giving Henry a similar fate as Neal’s, with Tamara, brought to the brink of death by Rumple’s hands, throwing the last bean right under him, taking him away from his family and into NL. The episode would then end with the Lost Boys surrounding him. 🙂