I got one of my most recent purchases to download to .m4v with the following tweak to TV Preferences (mentioned earlier by someone) - check "Download Multichannel Audio" along with selecting "Most Compatible HD (1080p)":
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First attempt (with original settings) would only download the HLS file. Once the Preferences changes were done, the download progress window changed to displaying MB/GB downloaded (as opposed to just a percentage):
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Final download appeared as such in Finder:
View attachment 2246871
This was purchased about a week or so ago - definitely falling into the HLS new purchase realm...
Now as far as SD versions of HD purchases (to save device space) goes - we've been SOL on that one since the day TV was unveiled. Only method I know of for this still holds, i.e. run an old version of iTunes and download through your Purchases page.
Or if on iOS, assuming the movie still is for sale (and still recognizes your purchase of said title), you can download the SD version through the movie's listing page.
Those are old titles though, movies that were released years ago. Try a newer title, like a movie that was released in the last year or two (examples: Top Gun Maverick, Avatar: The Way of Water, etc). I purchased these and cannot download a file that can be streamed locally from my Mac to my Apple TV.