I think with a surviving son, Henry will no doubt remain Catholic, but Protestantism may continue to grow within his realm, presenting a situation Mary Stuart was faced with: a Catholic Queen governing over a Protestant populace; the Tudors could still go Protestant down the line. Henry VIII may take steps nevertheless to restrain the church, even with a male heir. He was opulent and practically emptied the coffers that his father had so frugally built up. A huge reason to dissolve the monasteries was not only to break the power of the Catholic Church in England, but to infuse the royal coffers with much needed wealth. Is it possible he might negotiate with the Church in this scenario to dissolve certain monasteries (perhaps those with "lazy" monks ala Joseph II in the Habsburg Empire in the 1780s) to fill royal coffers that have been emptied by the magnificent court that Henry VIII, as well as his foreign adventures.
An Spanish alliance is also likely, at least while Catherine lives. But Henry VIII was not well known for sticking to his foreign policies, and often hopped between a pro-French and pro-Habsburg policy, attempting to play the two against eachother. In this scenario Catherine will certainly still predecease Henry, so if he only has his one son, he will certainly consider remarriage to beget further heirs. If he is back on the marriage market in the 1530s, he might consider one of the French King's daughters, which could be quite interesting. Calais would continue to remain English, but I think in the long term it might fall if France and England end up at war. It was Henry's fiscal policies and bad the economic situations under Edward and Mary that meant that Calais' fortress could not be properly up kept, making it an easy target for the French army.
Scotland would remain independent, as well: but we could easily see a Scottish heiress marry into the Tudors down the line, merging the crowns... or perhaps the Tudors leave an heiress who marries the Scottish king. If Henry has a son, he will not meddle with the succession as he did IOTL, thus the Stewarts will formally remain in line for the crown should the Tudor line go extinct, which is wholly possible (at least genetically, they didn't seem to be the most fertile: certainly an offshoot from the Lancastrians).
