As I understand the current situation, if HM were to refuse consent and Harry gave the requisite notice to Parliament and, within 12 months of that notice being given, both Houses of Parliament did not "expressly declare their disapprobation of such intended marriage", he could get married anywhere it was permitted to enter into a valid marriage, which essentially means anywhere though there might be some exclusions in the local UK legislation of which I am not aware. However, if both houses of Parliament did express their disapprobation of the marriage, he could not enter into that marriage and if he did it would be void.
Once the Realms get around to passing the legislation in their jurisdictions which is necessary for the Succession to the Crown Act 2013 (which repeals the Royal Marriages Act 1772) to come into effect, as he's being among the first 6 in the line of succession he would have to get HM's consent to marry. If consent were refused, he could enter into a valid marriage but he and his descendants would be disqualified from succeeding to the Crown.
Interestingly, if he decided to marry now and declined to seek HM's permission or to give notice to Parliament, once the 2013 Act comes into effect the marriage would no longer be void, but he and his descendants would still be excluded from the succession.
But this is all moot because I cannot imagine Harry getting married to anyone of whom his granny disapproved, nor can I imagine granny disapproving of anyone Harry put up as a candidate for his hand.
