Too many good ideas brought to light here... It totally confuses my own speculations.
I have a hard time believing that if Rousseau had never seen an "other" in 16+ years, that Fenry would just happen to accidentally get caught in one of her traps now. I also, as has been mentioned, can't imagine volunteering to take a crossbow bolt to the shoulder. So, the two points kind of cancel each other. There must be a less painful way to work with Rousseau than that, but to accidentally get caught seems like amateur hour for someone so clever as Fenry...
I was initially thinking that perhaps Fenry was on his way to try to retake Aaron. It seems odd to me that no attempt was made on Aaron through the whole season, though in S1 Aaron seemed to be the only one among the 48 that the others were most concerned about... moreso than the rest who would have made it to the list that Ethan didn't have time to make... On that point, Ethan tells Tom in the Staff hatch that the survivors knew he wasn't on the plane... How did he know that? He didn't know that Hurley had the manifest yet when he took Claire and Charlie.
Maybe Fenry was looking to get to the Swan. I'm not so sure that his intention was to get John and bring him back though. It seems most like his intention was to screw with John's sense of purpose and ultimately convince him not to push the button. Maybe they knew that Desmond was gone with the failsafe key, so it was time and they could achieve whatever purpose not pushing the button/activating the failsafe would cause... I'm guessing they weren't aware that Desmond had returned. Of course, Fenry could have let the button go during Lockdown, but we could see very well the effect. He probably realized he would get away sooner or later, and that John would not fail to push the button as long as Fenry was there... John would keep asking him "Did you push the button or not?" Once Fenry was gone, the question would eat away at John's faith.
