One thing Audrey Gilbert was told when vampires started showing up in Mystic Falls was to stay away from them. Elena has made it perfectly clear that she doesn't want her younger sister to be involved with vampires in any way. Sometimes temptations over rule morality, and you find yourself giving into the sin.
Harry had always been a selfish immature boy that never wanted to grow up. He refused to become a man, and the island of Neverland gives him exactly that. With being the first lost boy and the leader of all the others, he's happy where he is. He doesn't care about the life he left behind or the fact he was missing out...