... for that to work you must learn in "raw" mode. Otherwise it will only recognize one command. On the learning page, click "Custom" at the very bottom, then "Raw".
Also realize that all harmony models from the past couple of years won't do sequences at all. This includes the 900, 1100, 600, 650, 700, OnePlus and Link. The 600, 650, 700 and OnePlus will do them if you use the old 7.7 stand-alone software rather than the MyHarmony.com software. On remotes that can't do sequences, the raw learn trick can get you 3 commands or so in one depending on the signal complexity, your target device and your skill.