You have to go into the DVD devices power settings. This is where you tell the harmony whether your device uses discrete power buttons (separate on and off) or a power toggle. Use the discrete method, give it the power on command (even if it's a toggle) but find a command (in device mode) that does nothing and use that for the Off command. If you can't find one then teach the DVD device a command from another device that doesn't exist or doesn't work. The harmony doesn't "automatically" know how to turn devices on or off - although most devices come with a default setup that usually works.
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