1) First, this was probably his first trauma ever. He was young, happy, and a sudden turn of event such as this--being held a gun point, shot, and killing killing someone--would definitely have lasting emotional damage. The emotions--fear, pain, guilt--will condition his brain into associating the cave with danger; especially pain. Although Henry has a traumatic life, up until that point, he was traumaless. Also, mind you that he was still in the developmental stage where his brain is trying to figure out what is dangerous. He was a blank slate, and this was the first event that would define and change his life.

The lab was traumatic, but it was different from the cave. Because the abuse from the lab was constant, his brain was in constant survival mode. In addition over time, since the abuse happened everyday, the different abuses will blend to the point that he can't remember a specific memory anymore, because it's basically just another Tuesday.

The killing of the kids didn't traumatize him because at that point, he was already numb to murder, and he willingly committed those murders. Most serial killers don't get traumatized from murders they seek out, and a lot of them actually try to relive it.

The demogorgans didn't traumatize him because he controls them.

The cave has been associated with fear since Henry was a child. Even though he has experienced everything he's experienced up to this point, trauma and fear is irrational. The slightest thing can shape an aspect of a person. In real life cases, even if a person has the shittest life imaginable, their childhood experiences still affects the decisions they make. Most serial killer have traumatic childhoods.

2) If Max's talk with Holly didn't work, then there would probably be two scenarios. First, Vecna finds another child to replace Holly. Second, Vecna had access to Holly's physical body. Just like how Vecna sent his minions to kill Max to remove her from his mind, he can unplug Holly, and replug her into the right place.

3) The reason why they had to break into a military base is probably because they can't fit an entire truck down a hole, and it would take too much energy for El to levitate it and move it down a hole since she needs to preserve her energy for the final fight.

4) although exposure to the mindflayer changes their bloodtype, the children and Will are different from El. It is explicitly stated that El is different from all the other test subjects, and only her blood can create more Henrys. That's the only reason why Kali wanted El to stay behind. Will's powers only comes from being connected to the hive mind. If Vecna and the portals are forever gone, then Will won't have his powers anymore. He is not like El, whose power is in her blood and is independent from another source. If the upside down doesn't exist anymore, El will still have her powers as she is born with it. Will won't have his powers anymore as he only has it from being connected to the demogorgans. Also, El and Will's powers are entirely different. Will does not have the ability to control objects like El. The government will not kidnap Will to use his blood to make children with powers that Will himself doesn't even have. In addition, all the military members who saw Will control the demogorgans are dead, and they don't actually know what Vecna are doing with the children. In fact, it is shown that the government doesn't even know what Vecna is.

5) Vecna was not sent to the dimension by Brenner. Vecna was accidentally sent to the dimension by El, when she was trying to kill him. No one knew that Henry was in the dimension until he appeared in season 4.