So, after finishing chapter 2, I realized I never found the axe needed to finish the henchman quest with Daelan Redtiger.

Since he talked about the axe and Luskan, I figured the axe would be there, and I'd run into it at some point during the various towers/holds/sewers. But once I finished and started chapter 3, realized I was wrong.

Reading the spoilers, I see I did find the axe when I finished the Griffon inn dungeon, and probably sold it back to the innkeep.

I had a savegame still in chapter 2, but the save was in Luskan (ie so I can't go back to the inn to recover it). I tried using console commands in the chapter 2 save game to give my PC the axe, and then give the axe to Daelan Redtiger, but that didn't work ..

So is there any way to recover from this ?

You cannot have sold it, because henchmen quest items are plot items, and cannot be sold. The solutions to your problems will very likely be lengthy, so rather than try to list all possible steps to take, everything you will need to know to recover from the situation can be found at the Bioware social site, Henchman solutions.

Ah, then I must have dropped the axe in the store, when I saw it had 1 value (or maybe it was 0 and I stupidly ignored that).

Thanks for the link, it doesn't speak to how to "fix" this (ie if there is some flag to set saying "finished quest 2" like there is in the other BG series to indicate plot/quest status). But does show how to give yourself the item.

It does tell you how to fix it. You can reset your henchman, set variables etc; that's where the fix is.