I think Harry and whoever was advising him as he was stepping down from his official royal role misunderstood the IPP status application to individuals.
As you mentioned it's to mutally protect the signatory nations' diplomatic representatives and their families mainly.
A diplomat is an IPP because of their position not their person. So once they remove themselves from the position they don't qualify for the same protection UNLESS their level of access, knowledge and importance could put the nation in danger - which is why former PMs can qualify as their kidnap or death could be destabilising in some way.
Harry had only known overseas travel being a minor child of an IPP as son of the heir, and then during his time as an official royal representing the nation on behalf of the head of state.
Attacking him as a representative of the head of state of the UK would be an attack on the UK.
Attacking a person who happens to be related to the head of state doesn't threaten the UK in any diplomatic way - it's terrible if it happens but on a personal tragedy scale.
I would have thought Harry had a greater claim for more security as son of the King now, as opposed to before when he was just one of eight grandchildren of the Queen. But on the other hand the King's political power and influence is not large enough for his peril to be a way to destabilise the UK government.
It's really a private family issue at this point.
UK security is reviewed on a case-by-case situation and provided when needed according to intelligence reports.
Overseas security is provided privately - just like hundreds of other famous and infamous people do - how that gets paid for is a personal matter between Harry and anyone who might want to bung him some cash, like his father - foreign governments shouldn't be bothering themselves with just another high profile person.