Because of the mediatic indiscretion outside the United Kingdom, Prince Harry was taken back home from Afghanistan where his Royal Family and the British Government accepted to let him do his military duty, despite fear for his own and the other soldier's safety.
However, reading the history of the British Royal Family since Queen Victoria, there has already been a military prince whose career might have cost his life (and not from the far side of a gun): Prince Alfred, Duke of Edinburgh, later Duke of Saxe-Coburg and Gotha, young brother of future King Edward VII.
When he was second in the line of succession, he did a little like Harry: to make the Palace accept his will to enter the Royal Navy. It was accepted in 1856. In February 1866, at 22 years old, he was entitled Duke of Edinburgh and captain of his own ship. Next January 2867, he started a worldwide journey on board the HMS Galatea.
One century later, these two stamps of the British Atlantic territory of the Tristan Da Cunha archipelago reminded of the politic importance of the naval career of the Prince: he was the first member of the Royal Family to visit many colonies. The island-volcano of Tristan Da Cunha kept an unerasable trace of his stay: the capitale was named Edinburgh of the Seven Seas in his honor.
The next year, he was shot in the back near Sydney, in Australia. The consequence was a subscription to open the Royal Prince Alfred Hospital, opened in 1882.
Parallel to his family and spending life -spent in postage stamps... -, Prince Alfred became one of the main leader of the Royal Navy: commander of the Mediterranean Fleet between 1886 and 1889, Admiral of the Fleet in 1893, and commander-in-chief from 1890 to 1893.
Believing Nicholas Courtney in The Queen's Stamps, Prince Alfred may have inspired the very-philatelic passion to futur George V, his nephew (a midshipman too during his teenage years). Perhaps inspired by his great-uncle's example, Prince Harry criticized the Army's postal services and told the importance of incoming mail for the soldiers' morale.