Why shouldn't she? I've only seen positive feedback on how the interview went, not that I watched it. Either way, Fox is still the most watched source of news on TV (ugh, but yes really it still is) and the network is saying 7.1M people watched it.
Let's assume the interview is self contained to only the 7.1M who watched it all, not others who catch it later or get clips of it etc. If she persuaded 0.5% of the people who watched it to vote for her rather than Trump that's a swing of 70,000 votes. If she convinced 0.5% of people to vote for her rather than writing in DeSantis or whatever, that's a swing of 35,000 votes. Pennsylvania is something like 4% of the national population, Georgia, Michigan, and North Carolina are all something like 3%. Multiply that all out and you see that even a small amount of persuasion could pick up a few thousand votes in each of those key states. The closest states are typically decided by ~10k votes, not 2-3k votes, but I mean, 2000 Florida exists and there have been plenty of other close statewide elections before decided by less than a few thousand voters.
https://en.wikipedia.org/wiki/1974–75_United_States_Senate_elections_in_New_Hampshire - famously, if a long time ago
https://en.wikipedia.org/wiki/2008_United_States_Senate_election_in_Minnesota
https://en.wikipedia.org/wiki/2022_Arizona_Attorney_General_election
I'm sure there's been others in recent history I'm not aware of but those were the two big ones I recall.
At a congressional district level or smaller there are plenty of other much closer elections and Harris can have down ballot effects. This recent one was astonishingly close:
https://en.wikipedia.org/wiki/Iowa's_2nd_congressional_district#2020_election
Doing stuff on the margins still matters. Being everywhere is a good thing. She went on Fox, but she also went on Call Her Daddy, Howard Stern, 60 Minutes, etc.
On the flip side, is doing an interview with Fox likely to lose her any voters? I definitely don't think so. I get not doing a debate, absolutely. But an interview? Surely that's fine from a political perspective.