Volume punch thru (always using amp for vol) only works on activites, not devices. If you added an xbox, you must make a "Play Xbox" activity to set the volume device. If you add another device in the future, it will need its own activity as well. You're probably used to other remotest that have a global volume punch thru. Harmony doesn't work like that. If you want it to work in device mode, just learn your amp's vol/mute buttons for every device. But using activities is much easier.