Milan got their away goal in stoppage time to cancel out Diallo's first European goal as Simon Kjaer rose highest from a corner, but Henderson should've saved it.
Deputising for David de Gea in what many think will be an extended audition for the No. 1 shirt for both club and country, Henderson was found wanting when it mattered most.
Speaking on commentary for talkSPORT, former Premier League striker Ashton said: "I'm sorry Dean Henderson, that is right at you.
"Yes, there is power on the header, but it's right above you.
"His hand wasn't strong enough and he just pats it into the net. How vital could that goal be?"
While United will feel sick to the stomach, there was a moment to savour as teenage sensation Diallo got his first senior goal for the club in style.
Replacing Anthony Martial at half-time, the January arrival from Atalanta latched onto a Bruno Fernandes pass with great skill, having been on the pitch for barely five minutes.
His introduction came with United desperately in need of inspiration after Milan had bossed the first-half, with Mason Greenwood singled out by Ashton on commentary, and the £37million wonderkid delivered.
"What a way to introduce yourself to Manchester United!" Ashton said.
"It's a brilliant, clever run he makes, we were talking about Greenwood not making those runs from out to in, but Amad just darts across with perfect timing.
"What a delightful pass from Fernandes, but Amad does so well to judge the position that he's in, see the flight of the ball, know where the defender and the goalkeeper are, then cushion that header over the top. It's brilliant."
Amad Diallo had a night to remember, but Dean Henderson had one to forget as AC Milan equalised at the death to get a 1-1 draw at Manchester United.