He doesn't understand that he isn't' making the right choices because he keeps choosing the wrong people. His mother had this particular fault; this prejudice he has towards women of his own class is what is getting him into trouble with bad types of women who are either involved in shady work or are friends with real bad types.
Harry, like his brother and mother, apparently has some kind of prejudice against his own background. You don't see him spending time with the aristocracy or gentry mainly because they prefer solid stable lives and after a wild youth, conform to the expectations and rules of their class.
Harry is living life according to what the press want of him. His main 'audience' is the press and he's paying WAY too much to the self-appointed media guardians. A HUGE problem is how he was pressured to 'normalize' himself, even though he doesn't know what normalcy is.
At some point, we all have to fall in line either through our work or our class rules, or at least follow the law and get on with our lives. It's obvious that neither Harry or William want to fall in line and basically conform and go about their duties and charity work. They keep going out for as man cheap thrills as they can get instead of letting go of their youth.