If Sky wanted to protect Urán's GC, they should have done something before they let De Gendt, Nieve and Cunego get a 5-minute gap. By the time they made Henao pull, it was too late and pointless. That was one for the Giro contenders, not for Urán.
Of course, what Sky should have done is have Henao join the breakaway, but they haven't done a single offensive manoeuvre the whole Giro.
Personally I'm too not bothered by Henao having to wait for Urán later on, although considering they've had both of them ride in a free role for much of the Giro and Urán didn't wait for Henao when Henao was in the white jersey, it's very slightly odd not to give them freedom till the end.