In the Harmony remote software after you click "Set Up Favorite Channels" a screen will come up where you can add the icons and corresponding channel numbers. At the top of the screen is another check box "Always display these channels on the remote when...".
If you check that box then update your remote then the favorite screen will appear on your remote after you select "Watch TV". If you don't select it then there will be a soft button on the LCD screen that I believe says "favorites" that's how you access those screens.
Mess around with the remote for awhile and you'll find many of the features are intuitive and will reveal themselves with a little use.
Enjoy your new remote!
,R