Well I've attempted the harmonica a fews times just for the purpose of recording my home music and it gets me a little light headed....ya know with all that constant breathing in and out....lol.
About Macca and the harmonica, I think he's simply not that interested in the instrument. Besides he plays enough instruments. Guitar,keys,bass,drums.
I think he does however play the sax. The LP "McCartney II" notes that Macca plays all the instruments on that LP. The studio version of "Coming Up" has sax arrangements in it.