In my latest game, as I was building out my empire over multiple continents, I noticed that it wasn't enough to have a harbor in my capital and a harbor in a target city in order for them to become trade networked. I had to have a second city both trade connected by a road to my capital, and with a harbor, in order for the connection with the third city to happen. I hope that makes sense. Not sure what causes it, but I notice that the capital always lacks the icon under the name. Sorry if this has already been reported--I didn't really feel like skimming all 13 pages of bug reports.