Note: The events of Red Dead Redemption and Red Dead Redemption 2 are not considered part of the same canon as Red Dead Revolver. The following description is therefore not contiguous with the preceding section on Red Dead Revolver.

From Red Harlow's wiki page.

It’s a bit confusing. Red Dead Revolver’s story itself is NOT canon with the Redemption Games. But you’ll notice that Red Harlow (the main character of Revolver) seems to still exist somewhere in the Redemption Universe, this is evident by the fact that NPCs will make comments and exchange stories about him. He seems to be something of a campfire story or an urban legend in the Redemption Games. Hope this helps.

There's no actual evidence that indicates Red Harlow, or his allies, ever existed. In RDR1 we can also hear stories about ghosts, burial grounds, and gangs, the ones that are true can be confirmed with the game.

Another factor is the absence of Brimstone, the capital of Mississippi territory, in Redemption's world. No one seems to care about that important settlement.

Lastly, the in-game newspapers revolve around events that occurred within its world, to make it feel more immersive. So if Red Harlow existed, why did the press, besides campers, forget about him? The events of Red Dead Revolver happened like 30 years ago, very unlikely to be writing a commemoration of Landon Ricketts, but not one of a national hero such as Red Harlow.

So, urban legend?