They do fancy him, but they're paying De Gea £350k a week, and no-one wants to take him off their hands with those wages so they'll be playing their most pricey asset with the hope that he earns his wages and entices someone to take them over with an added fee.
As for where he's playing, I think he could very well challenge De Gea next season, but based on Henderson's comments, he wants to be a guaranteed starter, so will likely be playing elsewhere, but it might not be us.
Then that's not a fair measure to judge Henderson then is it? Because he's not in the most successful team going. If he was he'd have more clean sheets etc.