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TCP port 123 is used to communicate with a network time server.
If your router is blocking this port it will never set the time.
For more information on this, take a look at this article:
Apple TV: TCP and UDP ports and protocols used
Also it needs an active internet connection.
Apple TV (2nd and 3rd generation): Troubleshooting Wi-Fi networks and connections
Also, you can hit the menu button on your remote which will bring you to the main Apple TV menu.