With the iTunes Store and purchase questions, you can get support from anywhere in the world. Just e-mail them and they will assist. My experience is very positive. iTunesStoreSupport@apple.com
Apple support informed me that TV shows doesn't appear because it is an item that is unavailable in Mexico.
(In any case it was available in ATV3... Go figure)
And thank you, priitv8, your advice was helpful.
But you can set many iTunes accounts in aTV 4 and switch between them.
The change that came with tvOS is, that now the Location you set, and iTunes Store & iCloud account you've actively logged in to, must match. Changing one will also force the change of the other.
If you activate your US-Store account, you get the TV Shows app back and if you had purchases, they should be there too.
Check the last section (Sharing With Multiple Users) of this article: https://www.macrumors.com/how-to/apple-tv-4-sharing/