You're probably doing it wrong, I found it hard the first couples of times I had to do that combo too. I personnaly put my index on L & R buttons and my thumbs on Up & A, then I keep all those pressed and power the 3DS on with my little finger.
EDIT: why isn't NATIVE_FIRM hte last thing to update ? Are you using the correct build ?
IDK about that but I got everything from the newest 10.6 downgrade to the 9.2.0-20U update. I got everything and I thought it was a weird thing whem I saw that but if I can't fix this by Thursday GS said I can get a new one