I agree with Madame Royale.
Those of you who don't see The Queen's Christmas message to the British Commonwealth every year wouldnt' know that she adores all of her grandchildren, and they her.
William probably does receive special attention because he is, ipso facto, her heir, but there's absolutely no evidence that she prefers one over the other, or that the cousins (and brothers) are jealous of each other. Quite the contrary, I would have thought.
In Harry's case, I think that he's rather happy that he can lead the sort of life that he wants, i.e. at the moment, partying until he drops. I can't believe that, rich and as carefree as he is to decide his own future, that he'd be jealous of William for one moment.