What Harry does not understand and what Molly certainly does, is the nature of the Winter Lady's job. It may be a necessary role for Molly to play, but it has a real ugly side to it, as we saw in the short story Cold Case. Harry knows that Winter maintains a huge army at the Outer Gates to fight off Outsider incursions, but he has no idea how Winter recruits its soldiers.
While it's possible that the payoff Molly asks Harry to perform will have little or nothing to do with her Winter Lady duties, there's a fairly high probability that it will. Harry will not understand why Molly asks him for this particular action; and depending on Winter Law, she might not be able to give Harry an explanation that would satisfy him, but it will probably be something that is odious in Harry's eyes; like helping to steal children from parents who don't want to live up to their obligations to Winter. Perhaps the only thing that Molly could tell Harry was that it was necessary.
There's a line from an episode of Babylon 5 where a perplexed character says of a reply they received from a questioned they asked, "That was a stirring reply, Citizen G'Kar. Unfortunately, while all answers are replies, not all replies are answers." Molly telling Harry that doing something that he sees as a terrible thing to do, is necessary, isn't going to make him feel any better about himself, Molly or Winter in general. Whatever Molly asks in return for the favor that she granted Harry is going to carry a high price tag in return. After all, her favor saved Harry's life, the payment will have to be commensurate with that.