I have a workaround for activities controlled through a Harmony Hub; still working on other devices...
Pick an "always on" device within the Harmony app and add a new activity named delay using that device. Insert a delay step in the activity's default start sequence. In Alexa routines, insert the delay activity between Harmony actions as needed. This approach can also be used to avoid automatic Harmony power off commands since going through the delay step allows you to switch between activities rather than ending them. I used it to create an on/off toggle for picture-in-picture, which Harmony can't do.