I just finished reading The Republic of Pirates by Colin Woodard. In the book, it states that legend said Avery went to Madagascar and literally ruled as king of the pirates. Due to the state the island is in when Woods Rogers arrives most of the legend must be fictitious, but it still seems possible he went on to live there in some form of comfort. The only other account of what happened to Captain Avery is from The General History of the Pyrates which isn't really a reliable source and it's account seems very unlike Avery considering his previous actions. Additionally much later in the book on p. 322 it states that Edward England lived out his post pirate days on Madagascar with the remains of Avery's pirates, so did at least some of Avery's men spend their twilight there?
I've written a detailed post here about the reality of pirates in Madagascar you'd probably be interested in. Basically Henry Avery did briefly stop in Madagascar to refit his ship and divide up his plunder but definitely never settled or established a kingdom there, although some later pirates did.