Yes - there are ways. You have a few different options. All are done in the Harmony Remote application. Basically, go back into the setup for the each activity, and there should be some options as to what to do when leaving activities. In that area you have an option to leave certain devices turned on.

There are also ways to tell the Harmony not to turn your devices on or off at all, but that is a somewhat blunt maneuver.

There are other threads in this forum on the topic, likely with more detailed explanations too, if you wish to search a bit.

Good Luck!