It's a bit annoying but you can't add or remove devices from an existing activity so you are stuck with the power on, power off and input selecting steps. But you can remove custom steps if you click and then and press delete

I've had success with using Bluetooth mode with my ATV and configuring power settings to "turn off when not in use" and power on macro to press "homepage" and power off to long press "homepage" for 1s, delay 0.5s then Ok. This pops up the side bar and selects sleep.