The cheater way to make a Harmony Macro is to make it on another remote and then learn it with the Harmony. The Logitech software and remotes themselves don't have custom macros - at least not in any version I've ever used.

Logitech will be releasing a remote with a keyboard this year. It's been leaked on a few sites. Model 800. For keyboard it uses Logitech's unified receiver - it also has a touch screen which can be used as a trackpad. It's a kind of square-ish looking thing with a somewhat ugly keyboard. http://www.avsforum.com/avs-vb/showthread.php?t=1398964