I am having the same issue. I did open a case via the phone and the support person told me that they are aware o the issue but there is no solution at present.
My specific situation is that I have video clips imported into iMovie and shared in iCloud that by selecting "Theatre (default)". The movie was shared and saved to iCloud. I can view the movie on laptop, iMac, iPhone, iPad, but not on AppleTV.
Did all of the support recommendations
1) Re saved the video clip into iMove (Cloud)
2) Updated AppleTV to the latest S/W version
3) log out of my iCloud account on AppleTV
4) log in to my iCloud account on AppleTV
5) Restart AppleTV
6) ...and so forth...and so on.