Many NARA microfilm publications have a descriptive pamphlet which describes the microfilm and explains how it is arranged. These publications sometimes say when pages have been lost (similar to the Known Issues articles at FamilySearch. I have not been able to find such a description of the records from NARA yet, but I will link to it if I can find one. (The DPs are often reproduced as the first images on the microfilm rolls.)
There may be some information about missing records in Chapter 1 of NARA's Guide to Genealogical Research in the National Archives; in the section Useful Publications, the online research guide 1790-1890 Federal Population Censuses - Part 1 says:
Details on many of these records appear in Guide to Genealogical Research in the National Archives, chapter 1. Table 4 of the Guide (pp. 14-16) identifies most of the microfilm publications for the mortality schedules; section 1.3 of chapter 1 (pp. 28-38) discusses each state's special census schedules and problems.
Stephen P. Morse's One-Step Web pages has a Description of US Census Microfilm Rolls, 1790-1940 and the list for Kentucky includes this entry:
- Henderson, Henry, Hickman, and Hopkins Counties
A DP or roll list from NARA might say if the counties are on the roll in alphabetical order.
If you want to try browsing all the images for roll 114 of M704, you can view the Allen County Public Library's copy for free at the Internet Archive. Stephen P. Morse's site also has a feature which allows you to browse the individual rolls.
FamilySearch's index was provided to them by Ancestry. So what I would like to know is who provided that index to Ancestry?
MyHeritage Library Edition appears to have the same issue. Here is their page for the same record as the one you found on FamilySearch:

Source: 1840 United States Federal Census MyHeritage.com [online
database]. Lehi, UT, USA: MyHeritage (USA) Inc.
https://records.myheritagelibraryedition.com/research/collection-10124/1840-united-states-federal-census
Original data: United States of America, Bureau of the Census. Sixth
Census of the United States, 1840. Washington, D.C.: National Archives
and Records Administration microfilm publication M704, 580 rolls.
Record:
https://records.myheritagelibraryedition.com/research/record-10124-246557/john-knight-in-1840-united-states-federal-census
John Knight Year: 1840; State: Kentucky; County: Henry; Township: West
Division; NARA Publication: M704; NARA Roll: 114; Frame: 7827; Sheet:
299
Citation: John Knight Residence: 1840 - West Division, Henry,
Kentucky, United States
It is the only hit on the first page of the search results for John Knight in Kentucky that does not have an image.
By contrast, a search for John Knight with name variants checked at findmypast, which has the US Census collection for free (it was formerly free at Mocavo, which was purchased by findmypast), shows 7 results, none of whom appear to be from Henry County. Their search results page says:
Last name First name Born Died Event Record set Location
- Knight John — — 1840 Us Census 1840 Christian, Kentucky, United States
- Knight John — — 1840 Us Census 1840 Christian, Kentucky, United States
- Knight John — — 1840 Us Census 1840 Germantown, Mason, Kentucky, United States
- Knight John T — — 1840 Us Census 1840 Division 1, Fleming, Kentucky, United States
Knight J — — 1840 Us Census 1840 Northern District, Woodford, Kentucky, United States
Knight J W — — 1840 Us Census 1840 Louisville, Jefferson, Kentucky, United States
Night Rufus J — — 1840 Us Census 1840 Jefferson, Kentucky, United States
(I haven't clicked through to view the images, so I haven't confirmed that the images belong to the counties cited in the search results.)