I would argue that Baggio is the greatest Italian player of all time, so he is definitely a level above Henry, but not at the same level as Maradona, Pele, Zidane, Platini, or Cruyff. He is definitely in the list of top 20 players of all time, possibly top 10.
Henry was more dynamic, pacier, and more direct. Baggio was more of an artist, a better passer, and an overall better player.