While Apple did not directly get me there, they pushed me in the right direction. It turn out that if you go to Settings -> Audio and Video and set Surround Sound to Stereo, you’ll be able to hear the audio commentary tracks on the episodes of iTunes Breaking Bad Deluxe Edition.
Why it doesn’t work when set to Best Quality Available or Dolby Digital I don’t know, but it sounds (haha) like a bug. While you can swipe down during playback of video, to change some audio options – whatever you select doesn’t affect the audio track at all – you must select Stereo from the Settings menu.
When I told Apple about this, they wanted me to do a complete wipe and reset of the Apple TV. I politely told them no. Apple can go away and do their own tests – unless Apple want to pay me £500/hour to test their kit for them. That’s my professional fee.
This is with tvOS 10.11, the latest publicly released “stable” version.
I also just want to say that the online chat support from Apple is nearly useless. In the end I had to wait for a phone call, which failed, then I was put through – then finally figured out the issue – then received a further 4-5 automated calls at random intervals.