My theory on how this show will end.

They seem to be hinting HEAVILY on time travel. From the book holly is reading (a wrinkle in time, a character named Mrs. Whatsit travels through time to defeat evil.) the teacher discussing how time travel works, and max talking about time travel and doing a bit of her own. And Robin giving minor references to back to the future. I think that will play a huge part.

I believe the Henry the kids are seeing is actually the good part left of him. In season 4 we learned you can keep vecna away by listening to your favorite song. First thing Henry does is give holly a radio with her favorite songs. And especially since during the interviews they accidentally let it slip everyone's opinions of vecna will change.

I think henry wants to go back in time before he was corrupted by the mind flayer when he was a kid. (that cave he was terrified to enter, where max is hiding in is where he got corrupted).

I think Henry, eleven, and will are gonna team up and somehow send Henry back in time. Which of course will completely alter time. I think the ending of the show will go all the way back to the first episode, they are playing DnD, will kills the demogorgon this time, and instead of being taken in the forest while riding his bike he meets up with Dustin to get his comic.