One could still be written (or may already be in the works). Wayne Shorter's biography, "Footprints," was published just seven years ago. But come to think of it, I wonder if this says something about the old rivalry between these two young lions of the 1960s and which one was ultimately perceived as "better."
Wayner Shorter has a biography from a major publisher and Joe Henderson does not. Hmm.... But no surprise to me as I always thought Wayne edged out Henderson in every category, from tone to composition.
Have you read Shorter's bio? I did. Not the best bio ever but decent, with a lot of info on Miles and Herbie as well.
But yes, there is some material to mine on Joe online and elsewhere. Have you read the Mel Martin interview? One very interesting and poignant story from that chat involved his reunion with his old Mark VI tenor which had been stolen years before. But the fact that he didn't realize it at first and only became sure of it from an arcane (but from that point probably endearing) detail in the form of a bothersome screw that used to irritate this hand.
For those who haven't read this interview with Joe, here it is:
http://www.melmartin.com/html_pages/Interviews/henderson.html