Devante Rodney opened the scoring eight minutes before the interval, although the visitors, who had seen a man sent off earlier in the game, levelled within five minutes.
Dale were dominant after the break and two goals in three minutes from Henderson, the second of which was a classic lobbed effort, looked to have earned victory.
However, the Premier League club netted twice in the final two minutes of added time to send the game to a shootout.
The visitors netted all seven of their penalties before Dale’s final spot kick was saved, as Liverpool claimed the bonus point on offer.
Ian Watson named a much-changed team for the tie, with Sam Waller making his second Dale debut. Rodney returned from injury, with Zain Silcott-Duberry, Sam Sherring and Henderson also returning to the squad. First-year scholar Tom Bradley started at right-back, with his fellow Youth Team players Reece Leonard and Israel Pither on the bench. Laurence Maguire was due to start but pulled out of the 11 after picking up an injury in the warm-up.
It was a fairly even opening to the game, with both goalkeepers making big saves early on. Mani Dieseruvwe, captain for the night, saw a low effort superbly turned wide of the post after being found by Silcott-Duberry. Waller then made himself big to deny Joseph Bradshaw’s one-on-one effort.
The Dale stopper then denied Will Wright’s near-post effort, before the visitors were reduced to ten men, after Dieseruvwe was brought down by Talla Ndiaye, who saw red as last man.
Ed Francis saw the resulting free-kick blocked by the wall, and Rodney also had a shot blocked, before the Dale number ten opened the scoring eight minutes before the break.
Silcott-Duberry was involved again, playing a reverse pass into the feet of Rodney, who took a great touch out of his feet before firing home powerfully from outside the area.
The lead lasted just five minutes, though, as Wright scored a wonderful solo goal, dancing his way into the Dale area and finishing emphatically beyond Waller.
Wright could have put the visitors ahead in first-half added time, but Waller stayed big to deny the forward when one-on-one.
After the break, Henderson looped a header over the bar and Dieseruvwe was denied by a fine reaction save from Harvey Davies, as Dale looked to make the man advantage pay.
Luke Hannant sent a volleyed effort wide before seeing a flicked effort turned behind for a corner.
Liverpool had some half chances of their own, but Waller was comfortably equal to them, before Dale retook the lead in the 77th minute.
Some nice interplay down the left led to Ed Francis, playing the second period at left centre half, making a surging run into the area. He squared for Henderson in the middle, who clinically flicked home.
The pair linked up again three minutes later, as Francis played a perfectly weighted through ball into the path of the 41-year-old. He executed a trademark chip, dinking the ball over the advanced Davies from 25 yards out, to double the advantage.
It looked as though that would be enough to secure victory, but two goals deep into added time from Liverpool substitutes Ben Trueman and Joshua Lambie, whilst Dale were also down to ten men with Hannant receiving treatment, sent the game to penalties.
Both sides scored their first six penalties, before Daniel Onanuga netted Liverpool’s seventh, and Sam Waller saw his spot kick saved, as the visitors claimed the bonus point.
Dale XI | Waller, Wilson (46’ Leonard), Dieseruvwe © (74’ Hayes), Rodney (63’ Middleton), Silcott-Duberry, Adebayo-Rowling (63’ Pither), Francis, Hannant, Sherring, Henderson, Bradley.
Unused subs | Spaven, Tasker.
Scorers | 37’ Rodney, 77’ 80’ Henderson.
Liverpool U21s | Davies, Chambers, McConnell (63’ Onanuga), Bradshaw, Ndiaye, Danns (83’ Trueman), Wright, O’Connor, Cissé, Lucky, Laffey © (83’ Lambie).
Unused subs | Hall, Farkas, Cowley, Ayman.
Scorers | 42’ Wright, 90+4’ Trueman, 90+6 Lambie.
Attendance | 946.
