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It's not in the TV app, under the Movies app it's Wish List on the top menu bar and in the TV app it's Favourites on the top menu bar.
 
I do not have those options under the menu bars. Maybe it was disabled in Germany where I am living now

If you force close the movies app and re-open it on your ATV, your wish list should show back up.

It's happened to me a few times and found that force closing the movies app does the trick.
 
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