The magic items are there, they just don't show up in equipment and can't be traded (but they do show up on the picture of the unit).  The henchman still gets the benefit of them, PLUS he can equip the usual 4 (or 5 with Tinker) accessories on top of that.

A mount also doesn't show up in equipment, but it is still used.  If you equip a mount on the Equip screen, it replaces the in-built mount.  If no mount is equipped, the in-built one is used.  Note this only applies if the hench is trained with a mount included.

Both accessories and mounts don't show up on the equipment screen (on the right, but the accessories do show up on the unit picture on the left) after the henchman is trained.  If you equip a mount, it replaces the in-built mount, but if no mount is equipped on the equipment screen, he uses the mount he was given (if he was given a mount in the unit design).  Accessories can't be traded and don't take up any room, and apply IN ADDITION TO the ones you have equipped on the equipment screen, the equipment screen accessories do NOT overwrite the in-built ones.

Any other items that a henchmen is created with can be traded or sold, but not the mounts or the accessories.