The off on Harmony remote is designed to power of the current running activity.
Please try the following
Start your Watch TV activity
(Confirm that all the devices for Watching TV are ON)
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