In my case I couldn't get the simulator or real Apple TV to work at all, but on a real Apple TV doing this, where for step 3 the Sandbox Account was signed into a real Apple ID account, and signing into a sandbox user it seemed to work. The simulator still seems to fail.
tkerridge
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FB11860118 (This app cannot be installed because its integrity could not be verified)
I believe this is fixed in iOS 15.0+ (after being first broken iOS 14.6). Just double check the version you're debugging.