What is the difference between "arc", "hen" and "season" when categorizing anime series sub-stories?
Arc is English word and Hen is Japanese. They both indicate storylines (separation by what is happening in story), whereas season is used to split the anime by industry and commercial timeline (commonly by actual seasons: Winter 2015, Fall 2015). Multiple arcs may comprise a single season or multiple seasons maybe needed to finish a single arc.

Take One Piece for example. Season 3 and Season 4 of One Piece anime actually share arcs.