Henry the Lion is a cavalry hero available in the Scenario Editor in The Last Khans. His unit does not appear in the campaigns, but his portrait appears in the the Henry the Lion and The Lombard League scenarios of the Barbarossa campaigns.
In-game, he is represented by a Knight. Like other cavalry, Henry the Lion is affected by all upgrades that affect cavalry as well as any other bonuses that affect them. He is also a hero, so he cannot be converted and can regenerate health.