Mary is only a liability if her relatives don’t recognise the Prince of Wales, which will probably happen pretty soon afternoon husband birth. We know Henry had managed to force Chaupys’ hand to bow to Anne a few months before her arrest, signalling the beginning of further recognition, and once a son is born there’s no reason to keep fighting. She’s a potential threat, but one easily dealt with by depriving her of the opportunities to leave the country. Having his daughter executed to a big step, and the threat of the same will make Henry seem a monster internationally. Again, her personal household will shrink (if and when she’s granted one again), she’ll probably be stuck with Anne’s daughter(s) for the time being and, ultimately, she’ll be stuck away somewhere to keep out of trouble. Henry and Anne are not unintelligent people and they know if Mary is executed, England’s foreign policy is screwed.