From idownloadBlog:

Apple has quietly issued a backend update to the tvOS App Store, adding a new ‘Not on This Apple TV’ option to the Purchased section, making it easier to spot apps that users previously purchased on their iPhone and iPad which have since been updated to support the fourth-generation Apple TV.

In other words, use “Not on This Apple TV” to spot apps you own that have added Apple TV support that you have not yet downloaded on your Apple TV. Very smart.