Some people have reported this, but the Default Audio Output should still be there! And it is for most people. In fact, if you’re using Homepods, you should be able to select them form there without a problem, that’s the only speaker supported right now.
You need to have all your devices updated to the latest versions, and then use your iPhone Home app to set it up, if the AppleTV doesn’t let you.
The workaround is with your remote, not there AppleTV logo. In your Apple TV remote just hold the “Home” button, the one that looks like a TV. A menu will pop up on screen and in the bottom left you can select your speakers.