There is no credible information or verified report about Sarah Ferguson exposing Meghan Markle's "yacht days" with Prince Andrew or Meghan being his "first client."
The recent publicly available sources primarily discuss comparisons and interactions between Meghan Markle and Sarah Ferguson, noting some royal family dynamics and controversies but do not mention any scandal about Meghan's relationship with Andrew involving yachts or clients.
Sarah Ferguson and Meghan Markle have had a publicized acquaintance with some shared moments, such as Ferguson helping Meghan with royal etiquette early on, but there is no verified evidence supporting sensational claims tying Meghan to secretive or scandalous activities with Prince Andrew.
Thus, the story of Harry being shocked by such an expose appears to be unsubstantiated rumor or misinformation. Current credible reports focus on the evolving reputations of Meghan and Sarah Ferguson within royal circles and their similarities in navigating royal family scrutiny, not any direct controversial link like the one described in the query.