They don't. Look up the exploration rules. Heroes != Henchmen != Hired Swords. There is no reason to assume that HS explore. Only because they use the same advancement chart as Heroes?
EDIT: This is what the rulebook says:
"Roll 1D6 for each of your Heroes who survived the battle and one extra dice if you won, plus any extra dice allowed by skills or equipment."
It is obviously not mentioning Hired Swords.