I'm not a Harmony guy, but I would think that an "activity" is just another term for a macro designed to change inputs and then control whatever box (DirecTV, Roku, DVD player). When you select DTV Activity, the remote should switch inputs (if programmed) and then switch the remote so the remote's buttons operate the DirecTV box. When you select the Roku activity, it should switch inputs to HDMI 3 based on what you stated above. Does it do that?

So do you have a Power On button and then select an Activity? If so, then the Power On should be a macro and in that macro you could add your input change. Sounds like anytime you power on, it should start at HDMI 1.