Thomas Malory got the legend of King Arthur from Geoffrey of Monmouth - a Welsh monk who lived in the early 12th century. Good 200+ years before Malory.
But Geoffrey of Monmouth's work was largely unknown until Thomas Malory revived it.
Thomas Malory's book Le Morte D'Arthur became a bestseller because of the right timing - Guttenberg invented his printing press at just about that time.
In either case - the Arthurian legend is entirely made up. Geoffrey of Monmouth weaved the story out of his imagination - which was later picked and spruced up by Thomas Malory.
About the King - I may have to check up on it - may have made a mistake.
Update: did some checking. Thomas Malory: 1405 - 1471. King Henry VII: 1457 to 1509.
King Henry VII was so influenced by Thomas Malory's work that he also named his first son Arthur (but who didn't live long enough to become the next King...)
Heroes creating history vs history creating heroes is debatable. But this is awesome reading: http://www.invisibleheroes.com/hero.asp?issue=116
184 - Lucius Artorius Castus, commander of a detachment of Sarmatian conscripts stationed in Britain, led his troops to Gaul to quell a rebellion. This is the first appearance of the name, Artorius, in history and some believe that this Roman military man is the original, or basis, for the Arthurian legend. The theory says that Castus' exploits in Gaul, at the head of a contingent of mounted troops, are the basis for later, similar traditions about "King Arthur," and, further, that the name "Artorius" became a title, or honorific, which was ascribed to a famous warrior in the fifth century.
To not let my lack of knowledge take away from the point of the comment - let me reiterate:
The point is not how Arthurian legends started. The point is King Henry VII got a hero from Thomas Malory's book. And this hero gave him the ambition to change England.
Anyway, your broader point of having heroes is still valid.
I don't know much English history, but this is surely nonsense. Malory was a late compiler of the Arthurian legends, in no way their originator, and Henry V (whom I assume you have in mind?) was a generation earlier. Besides, history doesn't work this (fairy-tale) way.