Whether there were any interrogation scenes with Jack and Henley in the first draft(s) of the script, or if they actually made it as far as production, I can't answer. But, I can tell you why they didn't make the final cut. Unlike Daniel and Merritt, Jack and Henley simply didn't have anything to contribute that would either drive the plot forward or set something up.
The interrogation scenes with Merritt did two things. They revealed how talented he was (and obviously still is) which made, among other things, their second trick more believable (where it was his mentalist knowledge that gave them Arthur's security information). He also set up the romantic sub-plot (which wasn't fully explored in the movie, but, it was still there,) which was later paid off at the end when Rhodes met Alma at the bridge.
The scenes with Daniel were the ones that drove the plot forward. He was the one who swapped Rhodes' phone and also the one who explained why they got to walk after having committed the bank robbery.
Rhodes: You are literally begging to be arrested, you know that?
Daniel: If it means you would actually do it, then yeah. But you wont... Because if you did it means that you and the FBI and your friends at Interpol actually believe, at an institutional level, in magic... The press would have a field day... And we'd be even more famous than we already are and you guys would look like idiots even more than you already are. [...] Listen, you have what we in the business like to call: "nothing up your sleeve"... And you know it....