I am perplexed as to why it doesn't have power. The harness should work just like the factory harness. Where did you get the harness from? Maybe its not the correct one?
Also, it may just be a blown fuse. I would check that first... simple and easy.
My next suggestion would be to just bypass the harness all together and solder the 12v+ wire that the factory stereo used directly to the stereo's power wire. Both wires are usually red wires and you can also just use a wire nut if you don't want to solder.
This way, the stereo sticks with way the factory radio turns on/off and keeps the radio on its own fuse, separate from the cigarette lighter. Plus, if you are using the cigarette lighter to charge your phone or ipod, it may overload the circuit. Stereo's are expensive and you don't want to damage it. I am sure it would work, but I wouldn't feel safe with it.
Of course.... there are two cig lighters, so I would just use the other one that's NOT attached to the stereo.
p.s. - Here is the wiring for our stereo's: http://www.wkjeeps.com/wk_audio_pinouts.htm
Hope it works out for ya.