If the anode connector isn't on the tube, it doesn't have any HV. Zero risk, except to you if you happen to contact the HV. Don't do that! Also remember all the Henry amps I've ever worked on have a protection system that won't allow you to turn them on if the covers are removed to allow access to the tubes. You have to defeat that interlock to get it to power on at all, even the filaments. I think if you use an Ohmmeter to test continuity between the neutral and the chassis, you'll find they really are connected internally. The only time they wouldn't be is with a 4-wire system where neutral and ground are two separate conductors.