iTunes U on Apple TV

Audio ones are added under My Music and video ones are added under My Movies. If your having trouble finding them go into the genre view mode and there should be a new genre called iTunes U.

Personally, I think it would make more sense to store them in Podcasts because that’s really what they are but yeah they’re in movies and music.

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I don't use them so I don't really care but there's nothing stopping you from changing there type to podcast in iTunes.

Missing is an Itunes category on AppleTV which would allow one to search for Itunes U content without going thru MAC/PC first. That is possible for music,movies,TV, and podcasts.