Harry doesn't learn what he's Warden of until Cold Days.
Actually it is hinted at at the end of Ghost Story.. At any rate he tells Alfred to take Mab below and throw her in the slammer at the end of Cold Days if she shoots him and Alfred moves forward to comply.
It also comes up in Chapter Two of Skin Game. Harry asks what's to stop him from having Alfred imprison her. Mab responds "I am," shows Harry his blood on her finger, and states that the consequences to the mortal world would be "dire" if there would be no Mab and the consequences to Harry would worse if he tried it. She also stated that she was willing to throw down. Harry thought that the world needed Mab, and he was scared he might fail to take her down.
Harry simply thinks it through, Mab is a bad guy,
but our bad guy, as he puts it, putting her in the slammer would upset the balance and that might not be a good thing. Then he does second guess himself a bit, no, by himself he might not be able, but on the island? Yeah, I think he could do it. It could have been a lawyerly bluff on Mab's part because she knows that Harry could do it while they were on the island.