Mary was something of a mother figure for Prince Henry (more so than his own mother who's fate will be revealed in Pt. 2), his siblings in general are something of a soft spot for him that will cause problems in the near future.
This is understandable, although Thomas Howard, may not wish for their closeness, Mary and Henry may grow closer due to Mary being old enough to care for Henry and take him to church.
Regarding going to church with Edward, most likely every one would follow, a king to church no matter what their personal religion was, a second away from the king, could mean a life time, away in court.