I can't speak to Harlequin, but I will say that if you have an entrepreneurial spirit and are willing to invest money, self-publishing is by far the best way to make money in romance. For other genres like YA, Women's Fiction, Mystery & Thriller, I still recommend the average bear to go on a querying adventure if their goal is to hit the big time, but I know TONS of people making their living self pubbing romance. ((CAVEAT: Historical Romance and Inspirational Romance are two romance categories where it might be a little harder.))
Here's what you have to be willing to do though, and it's not nothing:
1.) Write at least THREE phenomenal books. Yes, you heard me, not just one, but three. The self-pub market, like HQ, needs highly frequent releases, and most self published authors don't see ROI until after the third novel. You can go one of two routes, three interconnected books with different couples, or,three different books with the same couple. If you do three with the same couples I recommend NOT having a HFN at the end of each book, but a cliffhanger. Yes, readers will rake you over the coals for it. But they will also buy your next book. It's a new world out there kiddo. Which brings me to point two.
2.) Study what's selling in the Ebook markets. Just ebook. Not paperback. Not what you have on your shelves. Not what editors say the trends are. Ebooks. Amazon most specifically. The ebook market moves at lightening speed. For example stepbrother romance used to be super hot, but that trend has faded. Sci-fi romance is surging with lots of alien mail order brides. Shifters, what I write, remain steady. Whatever you write you must know what people are /really/ reading. Now write the novel of your heart, but make sure you're hitting the tropes of the genres of at least one hot property. If you're curious about the kinds of things that do well in indie e-book, check out my podcast, here:
https://soundcloud.com/start-with-substance-678730910
Also, whatever you write must be just as good or better than anything you'd shop to a house. That means ....
2.) Get a highly trained team of professionals to produce your book. NO this doesn't have to cost tens of thousands of dollars, but you will need to spend money. Average cover costs range from $150-$300 for a good solid cover (not including paperback.) You can good to great copy-editing for a 60k novel in the $600-$900 range. (I've gotten quotes from Big Five people freelancing as low as $900 for 60k, so it can be done, and I don't even write clean. If you wanted to go a little cheap you can go even lower.) Formatting is /easy/ and you can do it yourself with Vellum. I wouldn't spend anything on the first book in terms of marketing. As I said you won't see ROI until Book 2 at the very soonest, unless you take off.
All in all, I'd budget not spending more than $1500 on the first book. It can be done, and more importantly, once you publish the first book you'll see what reader reception is. How are your star ratings? Is the book selling? Etc. Etc.
3.) Congratulations, your first book is out! Now as you publish book 2 & 3, it's time to start putting money into your series. There are lots of strategies, putting the first one free, getting a Bookbub, etc that can catapult your income. You need to learn about all of them. If you do, you'll reach the elusive stage number four...
4.) Profit!
As a new author I did around 10k on one book for its first year, and my launch was around the low end for the kind of authors I know. (So that's around double what a basic Harlequin advance is, sounds like.) Now I make anywhere between 2k-6k a month profit depending on promotions etc. Since that first "book", I've released one novel, one category length 40k novel and one novella within the series in addition to my original "book" (which was really a 100k series of serial novella.) I am making /peanuts/ to the authors I know who are releasing more than I am or are better writers and more keyed onto the genre than I am. People who can do this well make anywhere from 4-7k on the regular, especially those who have built out their back lists.
But it's a lot of work. And a different kind of work then querying and just focusing on your writing.