They don't have to stick together like in Warhammer. They're a group for purposes of stats/experience/equipment, but in actual gameplay you can split them up however you want.
If you really wanted to you could have one member of a henchmen group go running off by himself to the other side of the table. There's no rules for him missing his buddies or anything, unless he suddenly finds himself in combat and has to take an All Alone test.