I do not find any Sarah or Kate Henning in any county who could be yours. I suppose you do know of this marriage record?
Name: HENNING, Sarah
Record Type: Marriages
Quarter: September
Year: 1890
District: Wimborne
County: Dorset Hampshire
Volume: 5a
Page: 423
The groom's name has not been transcribed. On freeBMD there was only a Frank Gay on that page but he turns up in the 1891 census with different wife. Any idea what the child's name was?