Hi Treebien

The off on Harmony remote is designed to power of the current running activity.

Please try the following

1
Start your Watch TV activity
(Confirm that all the devices for Watching TV are ON)

2
Press the Power off command
(Confirm that all the devices for Watching TV are Off)

If your Cable Box and AVR are still on I would check the device power settings and confirm that they are included in your Watch TV activity.

Changing when a device powers on or off
[Link: support.myharmony.com]

Let me know if this solves your issue