Yep. Works that way out of the box. The device buttons on this remote are called combi buttons and function differently than the device buttons on traditional cheap universals. They do device selection, key group mapping and activity macros.

But I highly recommend you program it via Remote Master instead of the SimpleSet website.

Here's some info about an "extender" many of us run that triples the number of devices to 12 and available buttons (primary, shifted and double shifted) as well as gives you infinite length macros (within available memory).

[Link: hifi-remote.com]

Being a JP1 remote, it's far more powerful than most any other similarly priced remote. In addition to the 12 devices and 130+ physical buttons, you can load any device from the vast UEI or JP1 library, import pronto hex, program from PC/Mac/Linux, create your own custom devices and protocols, Long and Double Keypress (LKP, DKP), ToadTog (state tracking and conditional branching), Device Multiplexer (unlimited devices), Pause (variable delays between macro steps) and DSMs (device specific macros). Even the most expensive Harmony can't do some of those things.