None of the current remotes "sense" what state the unit is in - I don't believe the old ones did either. I never owned one, but my guess is they just remembered what you last did. (Okay, POWER's been pressed, unit must be on now... POWER again, unit must be off).

Simplest routine is to create two macros, 1) turn system on 2) turn system off. Whether your devices use explicit or toggled commands, this should work fine, though you can only turn on or off a set number of devices.