I just tried using Apple TV from my laptop using my HDMI output and just like you the video won't play on an external display. Just confirmed this with the latest OS update (15.3 beta).Ahh ok.. so different setup. You're not doing same thing as me. Perhaps you would have same issue if you did it. I have ALL my Apple purchased movies downloaded locally on the 2TB drive I put in these so I can play them anywhere and not HAVE to have internet. I also have 3 Apple TV devices in the house but I don't use often as you have to STREAM everything and really can't store anything locally on them, which I think is stupid...then what's the point.. go over my data cap on cable every month.. I just went over it for the 2nd time this year yesterday. 1.2TB limit.. yay Comcast.
Luckily, I have a workaround to this issue which works for me . . .