I'm still not that familiar with the new Photos program but if you right click a photo, share, iCloud photo sharing, then select or create an album.
On the ATV select that album as the screensaver.
This has always been a very hit or miss service for me. I use a shared photostream between friends. And all my devices report a different amount of photos in that album. The ATV itself won't show some for some reason.
Then on top of that on the ATV it will sometimes stop displaying the shared photo stream and start displaying the Nat Geo images. Its kind of comical to see the adventures my friends and I get into then it switch to photos of someone that has taken photos of real adventures around the world. I just pretend I took them.