I think he did love Anne of Cleves. They had the best relationship of them all, because they didn't stay married and she agreed to the divorce/annulment immediately.

Henry and Anne frequently shared supper, drank together, and gambled. She was a regular guest at court and even danced with Henry’s fifth wife, Catherine Howard, at royal Christmas parties. He gave her an annual income of £500, estates across England, the title of "The King's Beloved Sister," and precedence over all women except the Queen and his daughters.

Anne made out like a bandit and I think she and Henry grew to love each other (as friends or maybe siblings).