I don't leave felt unglued around the mouthplate. I glue it all, and bend the mouthplate a little and stick the needle through that. Just the felt, not the mouthplate. Like I said, it's kind of a pain, but the result is nice.
As for the Henson Stitch, no, it's not the ladder stitch. It has a zigzag element to it. Dome with large stitches, it looks terrible, but with little stitches it's quite good. There's a demo on Youtube in which someone sews yellow fleece together with dark brown thread, and the thread just disappears.
(There is debate on just what the Henson Stitch is. Some say it's a ladder stitch. Some say it's the zigzag ladder I use. Some say there ain't no such stitch. I don't know what they used on the Muppets, but I know what works for me. Nyah.)