He's had a thousand chances to take him down if he could, and didn't, because he - like Harry said to Murphy - is the devil that we know. And he has limits.
Harry recognized that Chicago could do a lot worse that Marcone, and he said so. Now he has hitters savvy in the supernatural, a valkyrie bodyguard, wards, protections, allies, dealings with Mab, and he's eaten two mushrooms and a star to boot. He can't be taken down without a small scale war.
Untill White Night, Harry could've squashed him like a bug, valkyrie bodyguard or no valkyrie bodyguard, but he didn't.
Personally, I kinda like Marcone. He's tough but fair, keeps his people safe when he could, avenges them when he couldn't, and "frowns upon" dealing to kids. A socially conscious drug dealer.