I think it's interesting to remember that Harmony does know what it feels like to lose the one you love. But he was able to recover from that, and probably knows that Wax will be able to overcome as well.
Also, Harmony is a new player in a vast and dangerous game. While it seems that He is truly concerned for Wax, He also has to be responsible for the entire world and perhaps a bit for the cosmere too. Should a god put a planet at risk to spare one man?
I also wonder if Paalm and Wax might both have been spared a great deal of agony if Paalm had been obedient to Harmony in the first place. Is this more her fault than Harmony's?
Finally, is there a theory out there yet about Wax becoming Harmony's champion? It certainly looks as though He could be grooming Wax for the part.
