BREAKING NEWS: Jay Kenneth Johnson and Shelley Hennig BOTH Leave DAYS! Regan Cellura January 18, 2011 34 Comments Another day, another DAYS exit. Soap Opera Digest is reporting that both Jay Kenneth Johnson (Philip) and Shelley Hennig are leaving Days of Our Lives. The actors have decided to leave on their own accord with Hennig telling the mag, "It just feels right," says Hennig of why she's taking off after four years. "I have been preparing for this for awhile, so I have said my mental good-byes. I will miss the faces I see here every day, but everybody has been really encouraging and has embraced my decision.... I feel like I'm going out with a bang after last week's air shows and I feel great about it creatively and I am thankful to the writers for giving me that. It's been a lot of fun to play and I wouldn't change anything."