The main difference as other have said, is that Henkei figures tend to be chromed whereas the Hasbro figures are not.

With some of the Henkei toys, this looks quite good, however there are a few that look... well, not right with all that chrome e.g. Ramjet.

Both have their strong and weak points.

I would make your purchasing decision based on which figure you are buying in order to make a fair comparison between the two.