- access to online database so can get codes for many more devices without needing original remote to learn from
- access to discrete codes in database for power, input selection, that are often not found on OEM remotes, forcing MX-500 users to buy secondary remote (e.g. OneForAll) to get these codes to use in macros
- "smart state", ability to remember whether things are on or off & on which input, deals well with devices that don't have discrete codes
- help system that makes it easy for non-savvy users to get system back in sync if the remote was blocked or aimed improperly during activity macros.
- database fairly accurate, don't have to spend as much time learning codes
- can move location of commands on LCD without having to relearn every code you move (a pain on the MX-500, unless you have the discontinued IRClone kit)
- longer labels (5 char limit on MX-500)
- models are less bulky, lighter than MX-500
- on some models, rechargeable batteries, color LCD

As for 10 LCD vs. 6/8 ... the Harmony remotes have ~6 more dedicated hard buttons for stuff like menu, guide, page up/down, exit, that are often forced to the LCD on the MX-500, so you don't really need as many LCD slots for most devices.

The MX-500 is a fine remote, and still good for the price; I used one for many years, but the Harmonys can do more. I do like button size & feel on the MX-500 somewhat better than most Harmony models though.