Okay, I was about to give up. I wrote the post above after spending
almost a day on configuring LyX and Natbib or Jurabib for the desired
Harvard style. Sometimes I hate these configuration orgies but then in
the end, I always manage to achieve what I have been trying. I hated
LyX and LaTeX so much all day long and now everything works just fine
and I can not help but have to love it again. Sweet as.
This is how I managed a Harvard style including small caps in Jurabib
for in-text citations:
\jurabibsetup{authorformat=smallcaps,round}
\renewcommand{\jbcitationyearformat}[1]{\unskip,\space#1:}
(Put it in the preamble) This: {\unskip,\space#1:} is pretty much of a
hack, but it works.
Cheers :)