AppleTV was not designed to work like an Airport Express with AirTunes.
You'r not the only one who would like the functionality, but it simply wasn't designed to do it, and I'm sure it doesn't purport to do so on the box.
I think we've all made some kind of assumptions about a device that have turned out to be incorrect at some time or another - I sympathise but as I said it doesn't say it will do so on the box or the website.
Send an enhancement request here:
http://www.apple.com/feedback/appletv.html
I suspect Apple engineers thought "it'll only be used by people sat in front of the connected TV" so it didn't occur to them that multi-room users or people with slightly different requirement would have a use for remote control of the device.
I wouldn't use the functionality myself, but you're not the only one who would.
AC