Pippen wants to send a clear message to everyone, including the refs: "no threes, and no standing around." The key is he would guard Harden behind him, making it hard on the ref to call a foul when Harden would have to step into the defender, who is already there behind him. Yes, I know fouls are still called in that situation, but less so than trying to guard Harden straight up. 

Yes, Harden is great in the lane and would still score. However, right now defenders are basically worthless against Harden and give him everything. Pippen would at least take away the 3 and disrupt Harden's normal flow of the game. 

I think the biggest issue would be the switching. The Rockets would just pick Pippen for 20 seconds each time down the floor. Fighting through picks all night could be tough.