I tried the same test with Photos. And had the same negative results.
I got a work around, but it was labor intensive.
- I opened Safari, went to iCloud.com, logged in and went to Photos.
- In Photos I went to My Albums. I created a new Album named screensaver.
- Then I manually uploaded 300+ photos to the Album screensaver.
I say manually because if I did more that 30 or so at a time, it would error. Errors were either there is a duplicate Photo or this image is not a JPG (hint: they were all JPG and I did not upload duplicate, since I went row by row).
Then on the Apple TV device, I was finally able to see the Screen Saver Album in the Photos app.
I chalk all this up to progress. Apple is trying to educate me on a new process of how to view my photos on my TV while streaming radio. Of course this progress means there is a new and better way to do this. Which probably includes costing more money and giving up more of my privacy. That or I am no bright enough to figure it out.
Either way seeing posts on the community board of the same issue is a hopeful reminder we do not have to suffer alone.
(for non native english readers, the above two paragraphs are my attempt at sarcasm ;-) )