The Scene I created was dead simple. I didn't specify any audio selection (since you didn't originally specify that goal). To refresh my memory, I just deleted/recreated the Scene using only the ATV4K accessory - set to "Play". I tried to save it then, but it did prompt me to "choose audio" as you reported. I simply selected "Resume Audio". Since there was no audio playing when I turned off the ATV4K, it merely turned on.
Apple needs to fix the "Select Audio" function in home kit. It demands you have an Apple Music subscription to even try to use it, and when you have an Apple Music subscription and then select, say, an album, it fails to work. As a test, I created a scene using only a stereo pair of HomePod minis to play audio, selecting a classic rock album in Apple Music (not my home library), and it played something totally different and random after a surprisingly long pause. Adding an Apple Music selection to the ATV4K Scene got closer, but it only queued my selection in Apple Music in the background - it did not start playing, as specified in the Scene, nor did it switch to Apple Music (in the foreground). It appeared to fail completely with the Apple TV turning on and sitting quietly on the homescreen.
