Since Henry was released from prison and reinstated at the CIA, his personal mission and reach has continually become more clear.
For someone recently out of jail, he's incredibly well-connected and has been able to operate without any interference from the agency. That has made him dangerous and difficult to predict.
When Calder was installed as the Head of the DPD, it was natural for Annie and Auggie to wonder how he managed to get the assignment. As almost everything they are dealing with, Calder has a connection to Henry. That immediately made Calder a questionable character and someone to be extra careful around.