Thanks for that link. You can also conveniently order scores from that website.
I second your recommendation of the Requiem. I don't think Henze is a composer where a novice should just go to the symphonies, in the traditional model of symphonies as repository of best ideas. I do think people might want to sample Sym. 9 though, preferably with text to hand. Where to start with the operas? I have no idea, really, I have only seen one (shame on me!). I've heard a few more on record but still don't really have the measure of them. The ballet Undine is marvelous though still has a little too much Stravinsky in it. Of the stage works El Cimarrón is basically a small-scale classic and a work that people on this board with an interest in avant-garde protest works might respond to. I guess those folks will also investigate - or will have already investigated - Der langwierige Weg in die Wohnung der Natascha Ungeheuer (with Gunther Hampel) and Das Floß der Medusa. There's a lot of quite contrasting things there and you need to take along run at it!