Despite the result, Wolves manager Rob Edwards should be happier with his side's performance as they were the more competitive side before Ladislav Krejci's red card on 61 minutes - and frustrated Crystal Palace after it.
While Palace had marginally more possession in the first half, Wolves spent more time in the home side's final third, with Mateus Mane and Andre providing a spark in midfield.
They had more efforts on goal too, and it felt like a goal was coming when they earned their penalty on 41 minutes.
Yerson Mosquera intercepted a Palace pass in their own half and although he was fouled, referee Thomas Kirk did well to wave play on and moments later Mane was brought down in the box by Adam Wharton.
Tolu Arokodare's side-footed spot-kick was easy for Henderson to save low to his left, though, and was the Nigeria striker's fifth straight penalty miss, a run stretching back to September 2022.
The visitors' five shots on target in the opening 45 minutes are the most they have registered in the first half of a Premier League game since last April.
It was only Krejci's dismissal that forced them onto the defensive for most of the second half, and they actually had the home side hanging on during the nine minutes of stoppage time.
Palace's late winner prevented Wolves reaching 11 points, which would have put them level with Derby's record for the fewest points in a Premier League season, but after avoiding defeat in their previous three games, it is surely just a matter of time before Edwards' side avoid that ignominy.