This man did indeed perish aboard the steamboat "Sultana" on April 27, 1865. Jerry Potter's "The Sultana Tragedy" lists Private Charles Henry, Co E, 2nd Michigan Cavalry, as a casualty of the disaster. That would mean that he was a prisoner of war of the Confederates, but my information (which only covers April 1865) indicates that he was not captured in April 1865.

You should get his Compiled Military Service Record (look on this site) which will give his date of capture and document his death on the Sultana. If you wish to learn more about this the greatest maritime disaster in U.S. history Potter's book is excellent.