First, congrats! Your hair looks lovely
Man, henna is a project with a challenging smell lol. About the color: it's true that the henna in your hair will oxidize over time and darken some as it does. You have to give it up to four days before you fully believe what your eyes are showing you
My grays started out the way yours did (brassy orange). ... Depending on the lawsone content of the henna you used, your grays could even turn into a deep auburn.
Someone recommended I add indigo when I hennaed (for burgundy) and in retrospect I'm happy I didn't
because if you accidentally darken your hair too much, there's no going back. Better to try a henna w/a high lawsone content first and possibly have to add a little more dye later. Plus, unless you're looking for a brown or black result, indigo is an added expense and another step in an already tedious process IMO.
The dryness of your hair will probably be remedied by your next conditioning session or by a DC. The henna coats the hair cuticle, so you should also notice increased definition and shine. The dryness isn't indicative of "protein sensitivity". One appears to have nothing to do with the other. My hair loves protein but it's a little dry too after hennaing.
Hope you love the results you see in a few days!