Cardinal Wolsey was not imprisoned and did not commit suicide. After being accused of treason, he set out for London to answer the charges and died en route in Leicester. Wolsey's death came in 1530, three years before the death of Henry's sister Mary; in the series, the two events are juxtaposed.
In the last episode of season one, when the heretic Mr. Fish is being burned, the dummy being burned at the stake can be seen in the corner of the frame, accompanied by the actor's screams.