In this blog post we (partially?) answer one of the questions posed in this mathoverflow post. Namely, let A be a complete discrete valuation ring with uniformizer t and fraction field K. Let X = P^1_A be the projective line over A. Let (X^h, O^h) be the henselian scheme you get by henselizing along t = 0.
Lemma. If the characteristic of K is zero, then H^1(X^h, O^h) is not zero.
Proof. Recall that the underlying topological space of X^h is the projective line over the residue field of A. Consider the standard open covering of this projective line. Then the first Cech cohomology for O^h with respect to this covering is the cokernel of the map A[x]^h x A[1/x]^h → A[x, 1/x]^h. Here the henselizations are taken with respect to the ideal generated by t. Since for H^1 Cech cohomology always injects into cohomology, it suffices to show that this cokernel is nonzero.
What does this mean? Well, by Artin approximation the ring A[x, 1/x]^h is the set of algebraic elements of the t-adic completion of A[x, 1/x] as defined in the previous blog post. A similar statement holds for A[x]^h and A[1/x]^h. See Tag 0A1W for an explanation. Thus we see immediately that the result of the previous blog post exactly gives the nonvanishing of the cokernel. QED.
What is mildly interesting is that this counter example doesn’t work if the characteristic of K is p > 0. Moreover, in this blog post we proved that one does have theorem B for henselian affine schemes in characteristic p. It could still be true that there is some good theory of henselian schemes and quasi-coherent modules on them in positive characteristic. Let me know if you have one. Thanks!