comes under power customisation, the problem is all are drawn form the same source, rather than a new instance for each player, so any changes to your henchmen at the moment would effect all of them.
Ive suggested this before, the feedback came back saying that it isnt as possible as it sounds sorry.
A total of 14 of my nerves have been harmed in the making of this post...
I think the forum search tool would provide tons of results on this one. 
Often asked, always refused. 
I dont know if this has ever been suggested before but I would like to be able to customise the mastermind henchmen a bit. It would be nice if you could choose between male or female henchmen and have limited costume choices or just be able to change the colours of their uniforms.