It's supposed to cover really well. It's color, and some use it as a treatment for the hair. It's made from a plant, so I don't think it's a protein. Not totally sure. Some hennahead needs to chime in. For more info:
Henna for Hair
You are correct about the AOb5--not good for very low dews. I'm not particularly sensitive to humectants. I think I was using that in the spring too... which would make it low dew points, but perhaps above 30ish. They are not hard and fast rules, just guidelines.
Where is there protein in here? Correct me if I'm wrong but I don't see any. :P