Rose and
Henry are sturdy classics so I wouldn't suggest anything flowery, exotic or too ethnic (in any direction). While I like many of your names, I feel these would complement
Rose and
Henry best:
MatildaEleanorLucyMadelineCordeliaBeatrice (rather than
Beatrix)
ChristopherTheodore "
Teddy"
JulianVincent
Two more things: (1) I actually prefer
Arthur with
Rose and
Henry (instead of
Rory) and (2)I wouldn't pair
Rhys with
Rose -- too confusing!