I have this magazine and it has some examples of harmonies in it. There is this awesome Iron maiden type harmony in there but what i dont understand is this....

it says that Guitar 1 is playing in E blues whereas guitar 2 is plaing in E aeolian. The reason for this is "because it makes sense"....? WTF?

Can anyone explain why it makes sense please??
Try this: http://ultimate-guitar.com/search.php?s=harmonizing&w=columns

when you're harmonizing in thirds you have to alternate between major and minor thirds depending on what note of the scale you're playing otherwise it'd sound rather out of place

E pentatonic minor is the E natural minor (aeolian) with 2 notes missing. If you're harmonzing in thirds you're going to have to take all the notes into account.
You could probably also harmonize with E phrygian if you wanted to, or E dorian
Most harmonies are done in the intervals of 3rds and 5ths thought there are other intervals those two are the most common i believe.