With the latest PMS and the latest ATV client, when selecting a TV show with unwatched episodes, you should be able to press play and have it automatically play the first unwatched. This was the previous behavior, however with these latest updates, it plays the first show of the earliest season in your collection.
With the current behavior, in order to watch an unwatched episode, you now have to scroll to the season and manually select the episode you wish to watch. This is quite cumbersome and needs to be reverted back to the previous behavior.