Altium Desinger: Collect harness instances into bus
What you're trying to do is not supported by Altium Designer, only nets can be tied to a bus. Moreover you're not supposed to attach a net label to a harness, it's automatically named after its ports' name.

From the relevant documentation:


  A Bus is used to bundle any number of nets. To do this, the following conditions must be met:
  
  
  Each individual net must be identified by a net label.
  The individual nets must be named using the standard naming pattern {Name}{NumericalIdentifer1}, {Name}{NumericalIdentifer2}, for example Address0, Address1, ..., Address n.
  The Bus that the individual nets join must be identified by a net label, in the format {Name}[{StartingNumericalIdentifer}..{EndingNumericalIdentifier}], for example Address[7..0], or LED[1..8].
  
  
  


But you're allowed to:


Group several buses into a harness.
Harness several harnesses. (theoretical, not tested for real)