No, I don't think you're overlooking anything. Sometimes, you have to be rather creative is all and there are no handy instructions for that.
Basically, in order to get your Harmony to do whatever you want it to do, it's best if you can figure out how you would go about getting the setup you want while still using the original remote controls.
For example, I recently set up a system with a Harmony Remote for a coworker. He had a Jamo all-in-one system that used a confusing button layout where there were 4 buttons for the various inputs. Except there were 7 inputs and most of the buttons would toggle between two different sources. There were no discrete button codes.
More than that, when watching TV, he wanted it to turn on the TV, turn on the cable box, turn on the Jamo surround sound and automatically tune to the weather channel when he first turned it on, but just go back to whatever it was on last if he was switching from watching a DVD or listening to music or something.
Solution?
First, for the Jamo, I discovered that if I turned it off, turned it back on and then pressed the "DVD input" button (which also doubled as the "Front A/V Input" button) that it would always go to the DVD input - regardless of the input it was last on before it was turned off. So that was great. It gave me a knowable starting point. From there, rather than use any of the 4 input selection buttons, there was a command in the Harmony database to just cycle through all of the inputs in a fixed order.
So, in order to always get the Jamo on the correct input for any given source, I would first make sure a command was sent to turn the Jamo off. Then turn it back on. Then press the "DVD input" button. Then use the input cycle button to press however many times were necessary to get to the correct input.
Round about method? You betcha! But at least it was reliable
Getting the TV and cable box on - no problem. And getting the cable box to tune to the weather channel was as simple as adding commands to the "Activity" telling the cable box to hit the channel number buttons and enter.
But how to get the cable box to just stay on the last channel it was on when switching from some other activity? Well, the only solution was to create 2 seperate "Watch TV" Activities. I just labelled one as "Watch TV - Weather" and the second as just "Watch TV". No biggie
The Harmony Remotes are not magic. But what they are great for is in allowing many many remote commands to all be sent with just a single button press. The "Activities" setup is also more intelligent that just a universal remote that can program macros.
One thing to make sure of is that you go into the "Power Settings" of each and every device and make sure that it is set to power on and off in the way that you want. If you set the Power Settings for the Devices, they will automatically adjust within their Activities as well.
When all else fails, just go through all of the options available, one by one, for each device and each activity, just to make sure you don't miss any options
Best of luck!