"Octave" is Harmony Type 5. But in order to get Harmony Types 1 through 5 to work, you must turn on the Accompaniment and hold down a note or chord in the auto accompaniment area. This could be useful, because it makes it easy to switch between harmony and no harmony based on whether you're playing anything in the accompaniment area. But it's also a bit of a hassle, especially if you want to use both hands to play the Main Voice. About the only workaround that I can think of would be as follows:
(1) Set the Split Point to 28, which is the lowet E on the keyboard, such that the accompaniment area is only 1 key wide.
(2) Set the Style Volume to 0, so the accompaniment will be silent.
(3) Turn on ACMP and place some object on the lowest E to keep it depressed.
(4) Select Harmony Type 5.
(5) Set the Harmony Volume to the same volume as the Main Voice (unless you want the octave note to have a different volume).
(6) Turn on Harmony when you want to add an octave to every note or chord you play, or turn it off to stop adding an octave.
The other option is to use the Dual Voice feature, as panos suggested.