The standard X10 dimmers don't do scene lighting. You have to buy dimmers that can handle scenes as that is not really "up to" the remote. Any remote can control "scene capable" dimmers as you describe it. Basically you preprogram the dimmer to a certain setting and when you turn the light on it automatically goes to that level.

As I said, Harmony remotes aren't ideal for X10 because you have limited control and setup. The only way a Harmony remote can work with X10 is if the lighting commands you want to send are a part of another activity. (ie if you want certain lights to come on with your TV, or certain lights to come on with your Stereo - but if you want to be able to control lights in other parts of the house as well this is not the remote for you.) Almost any other programmable remote that does macros will work.