OK, think I have it sorted
Since following your suggestions I have been trying this whole process on a fundamental signal generated at 7Mhz and as reported, I got no-where with it. I didn't think it was too relevant that I had changed to 7Mhz from 10Mhz.
Actually it is very relevant. The auto function does not work on 7Mhz but it works on frequencies above 10Mhz. When I changed back to 10Mhz it worked.
So to do an auto harmonic measurement :
1. Set up amplitude parameters to suit the signal. Whether it is needed or not I ensure that the ref level is somewhere close to the fundamental peak.
2. RBW set to auto (doesn't seem strictly necessary but does affect speed of measurement)
3. Select "Meas" and navigate to "Harmonic"
4. Tap "Fundamental" and manually enter a frequency known to be below that of the fundamental. How far below doesn't seem to matter. A frequency of 1Mhz always seems to work for me. After pressing the Mhz soft button the "fundamental" dialogue box disappears.
5. Tap "Fundamental a second time. Now press Auto. A scan is made and the analyser sets the frequency of the fundamental accurately and displays the wanted harmonic measurements. It doesn't really matter, but the dialogue box for "Funamental" remains open, obscuring the trace, but the trace is only showing a notional repesentation of the signal which is why this is unimportant. Just a bit ugly.
If you change frequency, you need to enter manually a frequency again that is below the new fundamental. Again 1Mhz seems to do fine. Then select Auto again and it works as before.
Its not the way I would implment a UI - not by a million miles. A single button marked "Auto" could be pressed and it will seek a new fundamental based on the signal present at the time of pressing Auto. Or use the "Restart" to make a new measurement including the first scan and identifying the new fundamental. Anything other than the half-baked way it works at the moment

Its a lovely machine so lets keep this in perspective but I would close by saying this aspect of the UI really should be classed as a bug requiring a fix. I also wonder if there is a good reason that the measurement is limited to signals of 10Mhz and above. Us radio amateurs have some fairly low frequency needs. I have a feeling that the predecessor of this SA only went down to 10Mhz ? Maybe someone can confirm. If so then it seems likely that this bug originates from code for the earlier model that sets the pre-scan to start at 10Mhz - something that should have been changed but was overlooked when the frequency range of the scope was improved.

Kind Regards
Eloso