Volume can be a problem when playing with bagpipes.  Bagpipes are really, really loud, and harps, especially folk harps, are really not loud at all.  At my college, they made the bagpiper play his recital outside due to liability concerns.  In fact, there has been some argument that bagpipes should actually be classed as offensive weapons, and I once read a story about a man who was challenged to a duel and chose bagpipes at 10 paces.  There are different ways to deal with the volume issue; you can amplify the harp, or somehow muffle the bagpipe, or you can use the method a piper I once played with did:

At an outdoor wedding in a gorgeous mountain valley, the bride asked me and the piper, “Angus,” if we could play Amazing Grace together.  We both knew it, of course, but balance was difficult.  I tried playing as loudly as I could, and Angus played as softly as he could, but you couldn’t hear the harp at all.  (In fact, after Angus tried playing next to me, I couldn’t hear much of anything for a bit.)  So Angus tried standing several yards behind me, but the harp was still inaudible to the audience.  After that, Angus told the bride he had an idea.  He took off hiking across the valley and after a while I saw him waving at us from partway up the mountainside, about a quarter of a mile away.  When he saw me looking at him, he started playing, and I joined in.  It balanced perfectly, and it was a good volume for the audience, so he played the whole wedding from there.