Harry is Mab's vassal, and I think he indeed has no clue what that means.
Mab is loyal to her vassals, as her vassals should be to her. She delegates, sure, and as Knight Harry's delegated task is being a badass, but he is still HERS. Hers to protect, hers to sacrifice, hers to punish. Not someone else's to punish or sacrifice.
Random thug comes up to him? Harry's job to deal with. White Council comes up to him? NO! Harry bugs the White Council? Please fill out form A-Z on Mab's index of requirements, and she may punish him according to your wish. She may also reward him, if it was her will that he bug the Council. Or she may punish him far more, like smash him flat.
Now, there IS the way out of line option - if a Mab vassal is egregiously outside what she wants, she may decide to sacrifice said pawn rather than pay to extend her protection (especially random mook faeries get this a lot, also because lots of them ARE way out of line). But fundamentally, it's her pawn, so hers to sacrifice.