You can suggest an organizing feature, or more extensive library search filtering, to Apple, for a future version of the app. Feedback - Apple TV App - Apple.
As purchased movies do not have editable meta data, there is nothing on that front to do anything with ‘grouping’ or ‘albums’, which ideally would be excellent filters.
Video playlists are meant to play videos one after the other, so that functionality wouldn’t exactly match any organizing use. It also does not make it automatically transferrable to other devices, instead localized to that one Mac (or PC).
You could do it, but it has drawbacks and limitations.