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Calvert-Lewin won the spot-kick after being bundled over by former Spurs defender Vlad Chiriches, giving the Three Lions the chance to add to Marcus Rashford's penalty earlier on in the half.
But controversially, Henderson, wearing the captain's armband in his return to action, took the ball off Calvert-Lewin and then saw his tame penalty saved by Florin Nita.
The Liverpool skipper came in for a fair amount of criticism for his antics and England boss Southgate has revealed he did not agree with the decision.
"I was expecting Dominic to take it and when Hendo walked over I thought he was making sure that happened, so I will have to check what happened," Southgate said post-match, as per The Guardian.
"We will pull rank next time.
"Marcus and James Ward-Prowse were the two nominated at the start of the game and they'd both come off. But Hendo was the captain on the field by then. He was the one to make the decision. If I was Dom as the centre-forward I might not have gone along with that so easily."
Henderson, who played the entirety of the second half as he steps up his recovery from a groin injury, brushed off his penalty miss and angered England supporters by saying, "I've missed bigger penalties than that".
Prior to the Romania game, his former Sunderland boss Roy Keane had pulled no punches when asked about Henderson's inclusion in Southgate's 26-man Euro 2020 squad.
Keane said: "I've heard people say they want him around the place - for what? Does he do card tricks? Does he have a sing song? Does he do quizzes in the evenings?"
Fans were expecting Keane to slam Henderson after the game but instead, the Irishman directed his negativity at Calvert-Lewin for not standing firm.
"He should have fought his corner there," Keane said on ITV.
"He should have showed a bit of maturity.
"'I don't care who you are, I've won the penalty, I'm the striker, you've been out of the game for three months, back away'.
"Strikers are supposed to be selfish.
"It's not as if Jordan has scored loads of penalties or loads of goals. You're the striker, you've won the penalty.
"So what? Why do you keep saying that? It's about putting the ball in the back of the net. He shouldn't have done, it's not a good sign from him."
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