You need a harbor in your capital also... or a railroad path from your capital leading to a harbored city. Then the two harbors "talk" to each other as a railroad connection.
This is true for roads too. Your capital needs to be connected to harbor (either in its own city or via road to a harbored city) in order for other harbor cities (or cities connected to that harbor) to be connected to the trade route.
It makes sense if you fool around with them a bit but it's difficult to describe and I don't think it's documented. At least it's not documented very well in the caption that comes up over the harbor icon.
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