I don't know if this applies to the Logitech Harmony, but I use a Tivo skill (for my Tivo DVR). With the Tivo skill, they mention bringing the Tivo device "in focus". In other words, Alexa has to know that the device is currently being used.
To quote the Tivo instructions, "...if there's been no activity on the TiVo device for approximately 60-90 minutes (e.g., if you have been watching a single show or channel for a long time), you will need to add “TiVo” to the command (“Alexa, Pause on TiVo”)." I can see why this is important. If I were to say "Alexa, pause." She wouldn't know if I'm talking about streaming music, my Tivo, or some other device.
In your case, if you told Alexa to "turn on TV" and nothing else for a while, and then when you say "volume up" Alexa probably wouldn't know if you wanted her to change the volume on the Echo speaker, the TV, or something else. I would guess that your TV is no longer "in focus" for the Harmony skill.