Dynamic Volume and Apple TV

1. Audyssey settings are memorized separately for each input. So you can Dyn Vol and Dyn EQ off on one input and on for a different input and it should remember that.
2. However, and this is what I assume your issue it, if you’re using the Quick Select buttons you have to re-memorize them once you dial in your preferred settings. The QS button takes a “snapshot” of a bunch of settings including input, volume, Surround mode, Audyssey settings etc. So if you’re using those it will always revert on you unless you re-memorize and take a new snapshot.

The suggestion above has been borrowed from the thread the forum rules will not allow me to post, but I'm quite certain this is the solution to your problem and not anything related to HDMI CEC being sent by the Apple TV. The issue is not present in the setup I made for my friend and they too use an ATV 4K connected to the very same AVR as you do.

Apple TV has its own audio dynamic range controls. Possibly that is communicated to the receiver through HDMI-CEC?

Setting a default: Settings﹥Video and Audio﹥[ᴀᴜᴅɪᴏ]﹥Reduce loud sounds﹥On|Off

and during playback: Info pane﹥Audio﹥[sᴏᴜɴᴅ]﹥Full dynamic range|Reduce loud sounds

Adjust video and audio settings on Apple TV - tvOS 14 - Apple TV User Guide - Apple Support

• Watch Apple TV without disturbing others

If Urquhart1244's answer did not solve it I would suggest that you have saved the setting on the Denon. I save settings in "Scenes" on my Yamaha but have helped setting up a friend' Denon which had the ability to save certain setup parameters on each input.

" “Reference Level Offset” and “Dynamic Volume” settings are stored for each input source. "

Found here: http://manuals.denon.com/AVRX2500H/NA/EN/GFNFSYphwaueoj.php