Going over aerial images of that area, I can see no way that the existing US 41 through the Henderson, KY area can be economically upgraded to full interstate status without screwing everything at the local level up along the way.
IMHO, the best routing (assuming no undue environmental hangups) would have I-69 diverge from the the existing Parkway by the railroad overcrossing just north of KY 351, run along the railroad to just south of US 60 where it would curve a bit northward and cross the railroad, running a short distance east of KY 414, then curve nearly due northward and cross the river. From there, it would join I-164, feeding into that curve about a half-section east of Weinbach Ave, threading the highway between those ponds. I-164 to the west could then connect to it just south of that pond that would be west of I-69. The routing could be smoothed a bit if one or more of those ponds are expendable.
I would also find some way to simplify the area around the US 41/60 interchange for batter local utility, study the US 41 connection to the Parkway just south of KY 351 (is it really needed?) and preserve KY 425 for long-term future upgrading to be a permanent I-69. (The Parkways from there to I-24 near Hopkinsville, KY would make a nice 'I-41' southward extension, too, I'd say!

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Mike