I'm not sure I understand, because I only owned a Harmony remote for a few days, but I'm not sure what you can do with "Activities" that you can't do with macros.
State machine, like others have said. Here's a specific concrete example:
- I have an activity called "Sattelite TV", which needs my TV on.
- I have an activity called "Listen to music", in which I want the TV off but the Rio Receiver on.
- My TV doesn't have discrete on and off, it's only a toggle. (Bastards.)
So because it knows whether or not I was already in the middle of the "Satellite TV" activity, it can know whether or not to toggle the TV on or off.