Ken - Murph's answer is right on for your first questions. The Harmony does "activities" by extrapolating commands from the devices you load. With the URC, this function is called a macro and you program the remote (with any simple or complex steps you choose.
As to your second question:
"What about the volume control and directional arrows, which might be used by two different devices during one session? IE, volume controls must control the receiver, but directional buttons must control the DVD player?"
Once you set up your DVD device, the remote has all of the commands & buttons of that model. Additionally, you can program a "punch through" that allows you to control the volume/mute functions of the receiver or TV, depending on how you are hooked up. Then you can add additional commands - my example above of the SUB+ and SUB- controls. You can also add the receiver commands for audio - stereo, Dolby Digital, DTS, Cinema, Music, etc.
If you have a 2 zone or 3 zone receiver, you can set up a device for them as well. Or a Receiver device, a CD device, or APPLTV/iTunes device for each zone.
Said another way, with any device you create (Satellite, DVD, TV, etc.), you can add any other command from any other device (via drag & drop) to any device you have. For example, I have a POWER device where I have the discrete ON and OFF commands for all of my other devices. I use it to build macros. On the main OFF button, I have a macro that cycles through all of my device OFF commands when I am done so that I am sure everything is turned off.
On an MX-900, the LCD screen has 6 entries per page and can go 21 pages deep. You can drag & drop to arrange the commands anywhere you want ( I put the most-used commands on the first & last page - easy to toggle). This is in addition to the standard hard button commands.
As I said, the Harmony stuff is pretty good, but the URC remotes just get to a whole different level.
To be sure, you need to buy the URC remotes from an authorized dealer so you can get the software for programming it. Jack & I have been using (and referring folks to) Mike at surfremotecontrol.com. Great prices, extremely helpful AND authorized dealer.