The 148.5km run to Paracombe was touted but not proven as the new queen stage of the tour, which Richie Porte (BMC) won to assume race leadership.
Henao double punctured and then desperately chased with teammates for some 40km overall to reconnect with the peloton before it arrived at the first of two hilltop finishes, tipped to decide the general classification of the 19th edition.
“The first few laps were easier than expected,” Geraint Thomas recalled of the circuit start in Stirling.
“I expected it to kick off and have a long, hard day, but for some reason nobody seemed too keen to go in the break.
“We started riding with BMC the last time up to Stirling and then Sergio punctured at probably the worst moment possible.
"All the boys committed, we all waited at different times and managed to get him back. I was looking after him at the end on the last kicker and unfortunately, he kept losing my wheel a little bit.
"I didn’t know where he was, was drifting back looking for him. He was just a bit too far back and probably gassed as well from the long chase.”
Henao did limit his losses, finishing 19 seconds behind Porte in 12th place. The 29-year-old, who was third overall at the race last year, currently sits 15th on the general classification - 29 seconds in arrears.
Thomas said the misfortune had not thwarted Sky's objectives, which are part of a two-prong plan with sprinter Danny van Poppel, 23, also vying for stage wins.
“It’s all to play for on Willunga, for the podium,” Thomas said of Saturday’s traditional queen stage.
“And we’ve still got flat days with Danny. I think we’ve still got a lot to race for. For sure, overall is still possible, podium, and every stage. We’ll go full gas to try and win them as well.”
Van Poppel was second in the People's Choice Classic prelude criterium and will have another chance to sprint for line honours when the tour continues to Victor Harbor on Thursday.
"He came to us last year a bit green, even though he rode the Tour de France when he was 19," sports director Brett Lancaster said.
"You've got to realise how young he is still. He really stepped up last year. He's not at his ideal weight at the moment, he's been doing quite a bit of gym. He likes the harder stages - Victor Harbor will suit him more."
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