I'm using my Yamaha receiver to switch everything too. When you go through the Harmony setup wizard for activities it asks you which receiver input you want for that particular activity (watch cable TV, watch DVD). Did you not set up any activities?
My problem was getting the Harmony to switch TV inputs from HDMI1 back to the internal tuner (ant/cable) which I needed to do in order to get the correct audio output and transport controls (FF, REW, pause etc) while watching Netflix streaming media.
I had this problem and it drove me nuts! I was fiddling around with my harmony account on the computer the other day and found and option for harmony updates for my denon receiver and ST60 devices. I did the update and now the remote always goes to the correct input!