What you described is EXACTLY what happens when you select an activity. It automatically turns on devices (if they're off) and selects the right input on every device if necessary, then runs additional commands if you specify them. The best part of the harmony is that it will only issue commands for power and input selection if it needs to. e.g. if your TV has a power toggle, the first time you select an activity it will send the power toggle command. After that it knows the TV is on and won't resend the power toggle (because that would turn the TV off). Similarly if you have a list of inputs that you cycle through the harmony keeps track of which one you're on and dynamically figures out how many commands are needed to get to the next input. Normal macros can't do this.

When I hit watch a DVD I use my TV, DVD player, receiver and scene control just as you described. It only takes 4-5 seconds. Of course that depends on your equipment and the delays are adjustable to make sure everything works correctly.