I'm now quite sure that Wallace was a cousin of Henry and Eliza Cole but I haven't yet found the specific connection.
I was reading today "The History and Genealogy of the ancestors of Stuckely Westcott" by Roscoe L. Whitman, 1932.In it he lists all of the siblings of Sarah Ann Stafford, mother of Wallace Sheldon.
Sarah was the daughter of Stukeley Stafford and Ruth Kingsbury (maternal grandparents of Wallace).Sarah was their youngest of 10 children to Stukeley and Ruth and three of the other children have close connections to the Cole or Reynolds family.
1.Susannah Stafford, born 1785, married Caleb Pierce Cole - aunt and uncle of Wallace Sheldon
2. Ezra Kingsbury Stafford married Jane Reynolds - aunt and uncle of Wallace Sheldon.
3. Betsey Stafford married Benjamin Lewis and had a daughter Maria Halstead Lewis who married Wheaton Cole - first cousins of Wallace Sheldon.
All of these families also lived in Westport as far as I can tell.Do any of these names sound familiar in connection with your Henry Cole and Eliza Ann Reynolds?