I don't think that Gard knew Harry was going to die until she saw him in the alley; that seems to be the way valkyries work in the Dresden Files. See her suddenly staring at Michael in Small Favor, and Harry recognizing it. Not saying she doesn't know what's going to happen, just that she wouldn't know about it from the other side of Chicago. I figured they headed to Bock's since Harry messed it up the night before.
As for the consequences, well, see books 8-15. Molly's a big one; she'd have been a warlock eventually, and beheaded by the Council rather than the latest Winter Lady. Chichen Itza's another; it's kind of important that Harry didn't die in Dead Beat, as he later commits genocide in a spectacular fashion, which topples the world's power structure.
Immediate consequences include the Darkhallow, setting Butters on the path that leads to him becoming a Knight of the Cross, saving Luccio (and probably Morgan) from the Corpsetaker and Ramirez from whatever else, leaving Cassius free to hunt down another Coin (actually, he probably would've invaded Harry's apartment and hunted it down eventually)—and possibly let him steal or destroy one of the Swords. I think those are the major ones.
Then there's the fact that nobody would've saved Marcone in time in Small Favor, in terms of personal, more long-term consequences. It would also have affected the plot of Ghost Story (as in, none of it would've happened, which screws Zero and the homeless kids). Demonreach would've remained unclaimed for a while, until someone else rolled along.
Honestly, the list is endless. I've often pointed to this as a pivotal moment in the series.
You bring up an interesting point actually - Michael on the island seems to be (by Harry's estimate) the same case of a Fated death being averted, and we have word of God (well, Archangel) of how that would've ended; and Uriel applauding Harry for preventing it. There was no time travel involved, just sacrifice and forewarning about the future.
