There’s a feature suggestion to expand the local extras naming schema for episode extras to allow for custom names (e.g. using a schema like Show Name - sXXeYY-type as an episode-level extra folder).
No actual ETA but the Apple TV can at least already deal with episode level extras. Still needs some improvements (e.g. the recent UI changes + local extras make it quite crammed and sometimes hard to navigate using the Siri Remote; episode extras not yet showing on the post-play screen…).