Harry and Mick have sex. Yeah, we know. And we'll get to that in a second, we promise, but first let's chat about Harry as a character in his own right.
Harry provides some key commentary on world politics through his fixation on fighting the fascists. This obsession ties him to the world outside his southern town: like Mick, Harry is almost entirely focused on something beyond his immediate surroundings. Also, he's Jewish, and in 1939, that's kind of a big deal (plus it links him to other outcasts that star in the novel).
So, now that we've made our point (Harry's in here for a reason), we can get to the scandalous stuff. And as rated-R as the whole teenage sex fiasco might be, Harry's reaction to the situation with Mick (i.e. leaving town) just emphasizes his youth and naiveté – for all his big talk and big ideas, Harry is definitely still a kid.
In the end, Harry leaves town and his future is a mystery to us and to Mick, who desperately just wants to forget him.