It's a terrible prosthetic. Again the pubes and the off-color is a dead giveaway.
I'm surprised this was even debated for so long. The pilot episode was directed by Lena Dunham who loved getting everyone naked in the Girls tv show and creating shock value. She wanted to create "shock value" again with this pilot episode showing a penis. She did the same thing on an episode of Girls in a scene with Matthew Rhys. It was also a prosthetic.
Industry and Girls share the same production company and probably are using the
same company for prosthetics. The only difference is that Girls had way more nudity than Industry. We would have seen Harry's ass multiple times if this was Girls lol.