I think Jim Henson was a very good director. The Dark Crystal and Great Muppet Caper are both spectacular films.
However, there's one exception. He didn't understand why Labyrinth didn't work. There's an easy answer for it - no real sense of jeopardy. We never really care about Toby. Sure, he's a baby and we're supposed to like babies, but the audience has no emotional attachment to him. The goblins didn't seem sinister enough either. The end battle was a "silly battle" and didn't advance the story. It wasn't the pay-off the audience needed. It only served as comic relief at a point where there needed to be drama.
I feel Jim Henson was too concerned about frightening younger viewers and upsetting their parents. There are moments in the Neverending Story that are chilling. He should have inserted some scenes like that into the plot. Don't get me wrong. I love the film. It just didn't have the necessary punch to make it a box office hit.
That is the only example of Jim's unsuccessful directing as far as I see it. Let's not forget that he directed Timepiece - a short film nominated for an Oscar. He also directed Emmet Otter's Jug-Band Christmas, episodes of Fraggle Rock, Frog Prince, episodes of the Storyteller and much more that I am forgetting. I admire his directorial skills.