He's not THAT bad in Slams, he made the fourth round in Australia but came up short against his new nemesis on tour, Nalbandian. Just like the year before, if he'd won that match he would have had a great shot at the final - he beat Schuettler the previous year and has beaten Roddick in Australia, so he could well have made the final. But these are all imponderables.
The thing is, he's now mastered the art of playing well in the optional events. He's won four titles, all on different surfaces, for the loss of three sets, so they account for much of his success. But playing in Slams is a completely different challenge, and I don't think he was really prepared for the level of competition at RG - he won Munich, but although that's a clay tournament he didn't have to beat any real clay-courters like Horna along the way.
The annoying thing is that the margins are so fine. He lost in straight sets, so you'd think he could barely put the ball in court and had absolutely no chance out there, but two of those sets were tiebreaks, one of which he had setpoint in having already served for the set. He made three errors in a row, all shots that only missed by inches, but he couldn't find the lines on the important points. That, I think, is the reason for his relative failure in the Slams up to this point.
It was Henman, in a very tight four-setter - Federer had three setpoints in the second set tiebreak and apparently slipped over on one of them, allowing Henman to win the point and he went up two sets to love. Yet Federer still won the third set 6-2, broke Henman back when he was serving for the match at 5-3 in the fourth set, and having saved matchpoint in the tiebreak he fell the second time when he put a forehand volley wide.
That was the time when Henman said in an interview afterwards that his matches should probably carry a health warning, and added that that was probably one of the highest-quality matches he'd ever played at Wimbledon in terms of the level of both players. Ah, what Federer would give for that now...