Harry and William do have the surname of Windsor. As sons of The Prince of Wales it is traditional for them to use the suffix "Wales". The wife of a King is a queen consort. So we will have Queen Camilla when Charles ascends, then Queen Katherine when William follows. The current Queen is a monarch rather than a consort. There is no "King" consort.
Eugenie and Beatrice use the surname York, just like William and Harry use Wales, so I think it's to do with their parents' official names. I guess Windsor is more of a dynastic thing, so when William becomes king, it will still be the House of Windsor. I think that's how it works.
Strictly speaking the surname should be Mountbatten as the dynasty is named after the male founder, but the Queen altered this by letters patent to retain the name Windsor. Queen Victoria was of the House of Hanover but her son and grandson were of the House of Saxe-Coburg-Gotha, after the surname of Prince Albert. The name was changed to Windsor in 1917 by George V in the wake of high anti-German feeling.