I was watching 'The Tudors' on Netflix and a recurring statement is "The people clamour to be free from the clergy". There are also still burnings of heretics. When Henry breaks away it seems like he's the first power in Europe to even consider it (even though its all to get Anne Boelyn). How big a deal is this historically? Is this the first action that led to the concept that people are free to believe what they want?
No, this is anglocentric history, of the sort that's all too common. The Reformation began in the 1517 when Luther published his theses. Henry VIII didn't break with the Church for nearly fifteen years.
The protestant reformation is not synonymous with freedom of religion. For Henry, breaking with the Pope meant that he was the highest authority (religious or otherwise) in England. The overall religious system didn't change much. People were still responsible to pay for the state church, but had no say in which member of the clergy they were assigned. But now bishops were assigned from Canterbury instead of Rome. It was still the religion of the state. As an Englishman, you were going to have to pay for it and if you wanted any political power you better follow it.
Nearly 100 years later the state religion was still proving an issue. When Charles I tried to impose the rules of the Anglican church on Scotland he kicked of the Bishops War. That lead to the English civil wars where the role of the state religion played a major role. The idea of religious freedom pops up in the aftermath of the civil war but is mostly seen as too radical for people to accept. The last Jacobite rising in 1745 still worried England about a Catholic Stuart king taking the throne and making everyone change religions.
In short, the creation of the Anglican church was a big deal. It would lead to 200 years of executions, exiles and warfare. It radically changed the European political map. But it didn't really have a much to do with religious freedom.