I wonder why...

You have to remember that Catherine was from a very powerful family in mainland Europe. She had connections that would easily have been used if Henry had dared discard her in such a barbaric manner. Also keep in mind the Queen Catherine was greatly beloved by the English people. They had happily accepted her when she first came to England and married Prince Arthur, and she had done much to endear herself to them. They saw her as a good leader and someone who cared about her subjects.

If Henry had dared attempted to have her head chopped off, not only would he have been executing a valuable Spanish ambassador, the Spanish Royal family have declared war on him, and his own people would have revolted. Even worse, the pope (who was related to Catherine) would have excommunicated him right then and there, and he would have lost face with his people.

The only reason he sort of got away with chopping off Anne and later Catherine Howard's heads, was because they were both British "commoners." Neither was popular with the British people, and they were more than happy to see both women lose their heads. However, executing Anne caused problems when Henry wanted to get married again after Jane died. A lot of royals around Europe were terrified that he'd visit the same horror on their daughters. A Swedish princess was even quoted as saying that she'd only marry him if she had two heads.

It was a delicate balance, and Henry played a very dangerous game indeed.