As Possumgirl has explained, you will never get a Denon volume display on the TV when watching a Smart TV app because the video is not going through the Denon. End of story. (However, I do not understand Possumgirl's comment about V-Aux. I gather you have plugged the optical output of the TV into a Denon optical input named V-Aux. If so, your Harmony will need to tell the Denon to switch to V-Aux for sound when watching Smart TV apps.)
But, switching between the Cable TV activity and the Smart TV apps activity should not involve shutting down the TV and receiver and then powering them back up. Harmony remotes know which devices are already in use for the current activity and, when properly configured, will simply change inputs for the new activity.