The trade network is just that - a network.
In the same way that a city can be linked by road via another city already linked by road - they don't all need their own roads directly to the capital - your trade network will spread via harbours.
What this means is you need at least one harbour within each "sub network" of your trade network. Here is a quick diagram:
Continent A Water Continent B
|~ ~ ~ ~ ~ ~|
1------2 ~ ~ ~ ~ ~ 3------4-----5
|~ ~ ~ ~ ~ ~|
City 1
is your capital, and linked by road to city 2
. If city 2
and city 3
both have a harbour then they extend the trade route across the water, this means 4
and 5
are also connected, because they are linked to 3
and so, by proxy, use it's harbour link.
If in this example, even if 2
was your capital it would still need a harbour to extend your trade route accross the water, having a harbour in 3
alone is not sufficent.
This also works if 2
and 3
were on the same continent, but not connected by road/rail.