I had the same questions and still can't believe there isn't more information on the topic. It's crazy how much marketing Denon devotes to their Multi-Zone features yet offers very little reference materials on the actual set up. I guess most customers don't use the fearture? Here you go:

-The Multi-Zone on the Denon 4802 is analog only. If you are running digital coax or fiber you will have to run a second line that's analog (eg RCA red/white) from the source to the Denon in order for the signal to to make it to the Zone 2 speakers (regardless if it's Pre-Amp out or direct connect to the Zone 2 speakers from the multi/SB speaker outs. Regarding the Harmony question, I had the same problem with my Harmony 880 and wasn't able to find an answer after multiple searches. Luckily I figured it out when I deleted the receiver from the Logitec device list and started over. Connect the remote to your computer, launch the Logitec Harmony Remote Software, click the Devices tab, hit the Add Device, pick the device type & manufacturer from the drop down list, enter "AVR-4802" under Model and finally hit the Next button in the lower right corner of the UI. The next page solves the Harmony Zone 2 control problem. You will see a message "To use your device in additional zones/rooms, click the checkbox...." Make sure Room 2 is checked (mine was not), update the remote and you're done. The Harmony Device menu you will now contain a second receiver icon called "receiver 2." Hit "device" on the Harmony, choose "receiver 2" and you will gain control over Zone 2 including volume.

Good luck!

Steve

Are you running a 5.1 surround sound setup? Be sure you set amp assignment to surround speakers Not Rear surround speakers, this is disabled when multi zone is assigned to 2 zone setups