I'm presuming the harmony hub is your first harmony remote, right?
Logitech Harmony doesn't work with 'devices', it works with 'activities', so why would you expect your devices to show up in alexa?
You really need to stop thinking about controlling your devices individually, and create activities for thing you want to do, like Watch TV, Watch Movie, etc. And use volume control for THAT activity.
Do not use the 'devices' tab in the app to control volume and such, that tab is only meant for adding/deleting devices and for troubleshooting really. When you buy a Harmony remote, ANY Harmony remote, you need to let go of that way of thinking. Any harmony remote that doesn't have the hub wouldn't even let you, at all.