I have seen multiple posts on this topic spanning back at least 3 years. The issue still persists for the AppleTV client.
I have a “Movies” library, and a “Kid Movies” library. I add movies in “Movies” to a “Holiday” collection. I add movies in “Kid Movies” to a “Holiday” collection.
From the web, I enter the collection from either library, I see both collections. From AppleTV, I only see the collection for the library in which I currently am.
It sounds like this issue might even be specific to AppleTV as I see lots of other threads suggesting many other clients don’t have this limitation/bug.