The Apple TV should normally be connected to one of the two HDMI-IN ports. The HDMI-OUT (ARC) should be connected to the TV.
Alternatively, if both your HTS and TV support HDMI-ARC (and possibly have it activated in settings), then you could connect your Apple TV (or any other HDMI device) to the TV, which will then passthrough the audio to the HTS. If e.g. your TV doesn’t support HDMI-ARC, then you may need additionally an optical audio cable for the audio to go through the TV to the HTS.
Sony allows one to skip external ports when using the Function button to choose another (external) source. Check Settings that this skipping doesn’t apply to the HDMI port in use for the Apple TV.
“BD/DVD” → “USB1” → “USB2” → “FM” → “HDMI1” → “HDMI2” → “TV” → “AUDIO” → (cycle again)