I had this same problem with a Sony projector a few months ago. I banged on that remote for over 3 hours before I finally got it to work.
Here's what your problem is: The Harmony remote is doing it's job and sending 2 power commands but the projector doesn't see the second one. WHY, do you ask? When your other devices turn off and the projector loses "HDMI sync" it kind of goes dumb for a few seconds and misses the second command.
Here's how to fix it: (I hope you're using the 7.7 software) Go to EACH
activity that uses the projector and click
Click "Review the settings for this Activity" (NEXT)
Click "Yes, but I want to add more control of options and devices for this Activity" (NEXT)
Save & "next" through all the pages until you get to this
Save, exit, & update your remote.
This will send an initial PWR command before sending any other commands. When the Harmony sends the actual scheduled power command it will actually be the second press and your projector will turn off.
When you change activities while the system is on, the remote will send one power command which will make the "power off" graphic pop up on screen for 3 seconds but it will not turn off the proj.