One amazing thing about the Lebesgue integral is that is defined w.r.t. to a given measure and that there a lot of different measures making the Lebesgue integration a very general tool (consider Harmonic Analysis).
The Henstock-Kurzweil integral doesn't seem anywhere nearly as general (at least not in this sense), so it looks less appealing. Although for real functions it's generally better because in that sense it is more general.
On Wikipedia it says that the Henstock–Kurzweil integral can be thought of as a "non-absolutely convergent version of Lebesgue integral" (w.r.t. to Lebesgue measure I assume).
Having just a tiny bit of hope for a more "general Henstock-Kurzweil integral" an obvious question arises:
Is there a generalization of the Henstock-Kurzweil integral that you can take w.r.t. to different "things" (similar to measures) that also includes conditionally convergent series as "integrals of sequences"?
(one should compare this idea to Lebesgue integration w.r.t. counting measure)