They don't mention any mass pograms against Catholics by Henry.
Mary Tudor's entry includes this text:
Both under Henry VIII and Edward VI men had been burned for religion, and Protestant bishops like Cranmer, Latimer, and Ridley had had a principal hand in their burning. It seems to be generally admitted now that no vindictive thirst for blood prompted the deplorable severities which followed, but they have weighed heavily upon the memory of Mary, and it seems on the whole probable that in her conscientious but misguided zeal for the peace of the Church, she was herself principally responsible for them. In less than four years 277 persons were burned to death. Some, like Cranmer, Latimer, and Ridley, were men of influence and high position, but the majority belonged to the lower orders. Still these last were dangerous, because, as Dr. Gairdner has pointed out, heresy and sedition were at that time almost convertible terms. In regard to these executions, a much more lenient and at the same time more equitable judgment now prevails than was formerly the case.