Generally, henna is not counted as an obstacle material. In other word it doesn’t prevent conveying the water to the hands (palms) and nails, although you can see its colour... Then it could be OK and permissible to use that. Of course its explanation looks be related to the common (natural) Henna not, artificial…. But in regard to your sentence that said
It is very difficult to remove them by ourselves
In similar items which could be problem for the Wudu or ablution, you should do your best in order to removing that (as much as you can). Besides, as a constructive helpful point, you should pay heed concerning the sort of the material. Actually as a general Islamic rule (for Wudu and Qusl):
Whatever considers as the obstacle between the skin and water, then it would invalidate the Wudu and Qusl. You’d better to fee the following source if you know Farsi.