The Blues got a dream start when they went ahead after 22 seconds. Steve Hammell's cross from the left byline was met at the far post by Bailey, who headed past Rochdale keeper Sam Russell.
The Shrimpers continued the pressure with Kallum Higginbotham clearing an Adam Barrett header from a Hammell corner off the line, before Russell dived to save a shot from Franck Moussa.
But the injury-hit visitors got back on terms after 12 minutes after skipper Gary Jones picked the ball up and released Higginbotham down the right.
His centre flew across the face of goal where Adam Le Fondre was waiting to stab the ball home.
Harrold appealed for a penalty after a challenge from Lee Crooks but referee Graham Horwood waved play on.
But minutes later he gave a spot-kick when Nathan Stanton slipped and Gary Hooper stumbled over him. Harrold blasted the penalty low right on 24 minutes, while Russell guessed the wrong way.
Steve Collis saved efforts from David Crooks and Tom Kennedy, before Moussa spared Peter Clarke's blushes by clearing his wayward header off the line from Kennedy's corner.
Southend bossed the second half with Russell parrying a Kevin Maher shot and Le Fondre clearing a Barrett header off the line.
Dale's Glenn Murray had a shot blocked by Clarke, but it was the Blues who created the better chances, with Russell denying Bailey and Hooper's strike being ruled out for offside.
Rochdale manager Keith Hill made a double substitution to pep things up and one of them, Rory Prendergast, forced a good save from Collis.
Southend could have made it 3-1 when Gary Jones brought down Moussa in the penalty box, but Russell went the right way this time to save Harrold's second spot-kick.