Thank you for suggesting the activity, it sparked me to try a few different things.
I created an activity that would use the projector only, nothing else. That activity would turn on and off the projector as expected. (Although useless)
Then I created a new activity with my projector and AVR only. Both would turn on properly, but projector would stay on when turning it off. Basically same problem I was facing. What I decided to try next is what matters. I went into the activity turn off sequence and changed the order to turn off the projector before the AVR, and that solved it.
So basically, if the controller tries to turn off my AVR immediately followed by my projector it does not work, but the other way around works as expected. My best guess would be that the projector would not interpret the codes as being different by maybe more like a continuity, and does not make sense of the signal, then does nothing in that case ? I would be interested to compare the codes of the POWER_OFF (Yamaha RX-A2080) and POWER_OFF (Epson Powerlite Home Cinema 5040UB) to see if part of the sequences overlap, causing this kind of issue.
Anyways, at least I have a work around the issue and I am content with the basic features for now. Thank you for your help.