Don't forget that Henry/Ben gave them a specific compass bearing that they had to follow to find their way out. Almost reminds me of when news commentators discussing the space shuttle, and how there are certain windows in the atmosphere that they must get through in order to get the shuttle to space. So it seems there is some sort of something that prevents anyone from leaving or entering the island except from this one window. There clearly has to be SOMETHING for someone to make supply drops, so I don't think he was lying when he told Michael (like he said, if Michael tells anyone about what the island, he'd also have to tell them what he did - and he's clearly ashamed of his desperation and actions) And the directions to get out, may not necessarily simply be reversed to get back so even if someone leaves and tells them about this island they probably don't have the directions to get back if they organize a search and rescue.
Plus, if Henry/Ben wanted the sailboat so bad to leave the island, why wouldn't he have just used the boat that he gave Michael?