Is Settings > Music available now?
The support article says tvOS 11.4 (that must be a typo) has this setting to enable lossless. I don't see that setting on a device running tvOS 14.5
Well noticed! Yes, I too think that is a typo in the document.
I’ll bring it to the attention of our hosts, who know who to contact about that specifically.
“Lossless is not yet available but is coming soon.” — as it is a feature for iOS/iPadOS 14.6, it may or may not come to tvOS 14.6.