The winger has done well in his games for the Sky Blues and Sbragia is also happy with City manager Chris Coleman for giving him the chance.
"Chris told me, when he originally asked for Jordan, that he would definitely play him and, to be fair to Chris, he's been as good as his word," said Sbragia to the Sunderland Echo.
"That's good to see. "Some managers beg for a player from a club and say he's going to be involved and then you find he's not.
"But they seem to have really taken to Jordan down at Coventry and I think he's been a breath of fresh air for them."
Henderson is expected to be in City's squad to take on Reading at the Ricoh Arena on Saturday. Tickets are on general sale but increase to £26 for adults and £13 for concessions if bought less than three hours before kick off.