The explanation seems extraordinary, but that’s what Henrietta says, and if she’s lying then we have nothing better.
“Because John asked me to! That’s what he meant when he said ‘Henrietta.’ It was all there in that one word. He was asking me to protect Gerda. You see, he loved Gerda… I think he loved Gerda much better than he ever knew he did. Better than Veronica Cray—better than me. Gerda belonged to him, and John liked things that belonged to him… He knew that if anyone could protect Gerda from the consequences of what she’d done, I could—And he knew that I would do anything he wanted, because I loved him."
Agatha Christie (1946). The Hollow, chapter 29. New York: Dodd, Mead and Company.
There are three clues to this explanation, though you would have to be very astute to put them together. First, there is a clue that the manner of John’s dying message is important:
(“Henrietta!” the dying man had said. He had said it in a very curious way. A way that reminded Poirot of something—of some incident… now, what was it? No matter, it would come to him.)
Second, we learn what kind of ‘incident’ Poirot was reminded of, and the dying man’s manner of speaking:
“Dr. Christow knew perfectly what he was saying. His voice was as alive and conscious as that of a doctor doing a vital operation who says sharply and urgently, ‘Nurse, the forceps, please.’”
Third, we are told how Poirot interprets the man’s state of mind:
“His voice was urgent—that is all I can say—urgent. It seemed to me neither accusing nor emotional—but urgent, yes! And of one thing I am sure. He was in full possession of his faculties. He spoke—yes, he spoke like a doctor—a doctor who has, say, a sudden surgical emergency on his hands—a patient who is bleeding to death, perhaps…”
The obvious way to interpret this analogy is that John himself was the patient, since he was literally bleeding to death as he spoke. But that can’t be right, since a doctor can’t be his own patient. It must be the case that someone else was the patient. Looked at this way round, the patient corresponds to Gerda, who is metaphorically ‘bleeding to death’: that is, facing conviction and death by hanging.
Poirot did not find the revolver by deducing that it was in the sculpture of the horse, it was the other way round: he deduced that it must have been hidden in the horse because he found the revolver in his own hedge:
Hercule Poirot had been staring out of the window for some moment… His eye had been attracted by an irregularity in the symmetry of his domain.
He said now:
“You want a solid fact! Eh bien, unless I am much mistaken there is a solid fact in the hedge by my gate.”
Shortly before this discovery Poirot had met Henrietta in the woods coming from the direction of his house, and she had said, “I have just been to call upon you. But you were out.” That gave Henrietta the opportunity to plant the revolver in his hedge. She had just come from her studio in London, so she must have brought it with her, and since the police had searched her studio, it must have been well hidden.
We are given a clue to the hiding place, though again you would have to be very astute to follow Poirot’s line of thought.
“Nothing there either. She went straight back to Chelsea and we’ve kept an eye on her ever since.† The revolver isn’t in her studio or in her possession. She was quite pleasant about the search—seemed amused. Some of her fancy stuff gave our man quite a turn. He said it beat him why people wanted to do that kind of thing—statues all lumps and swellings, bits of brass and aluminum twisted into fancy shapes, horses that you wouldn’t know were horses—”
Poirot stirred a little.
“Horses, you say?”
“Well a horse. If you’d call it a horse! If people want to model a horse why don’t they go and look at a horse!”
“A horse,” repeated Poirot.
Grange turned his head.
“What is there about that that interests you so, M. Poirot? I don’t get it.”
“Association—a point of the psychology.”
† This must be a mistake, as if it were true then they would have seen her put the revolver in Poirot’s hedge.