As this issue still persist in 2019, wanted to add a temporary solution.
Big thanks to the answer from user quip above that pointed in the right direction: the Apple TV checks for Speakers before looking for a Network Connection.
The semi-solution is to set the Network Connection on the Apple TV to Manual.
Go to Settings > Network > Ethernet > Configure IP and select Manual.
You can just click on "Done" on all the prompts if you want to use the same settings as before.
After this fix, most of the time, the Apple TV remembers the AirPlay Speaker selected after wakeup.
Update: Here is a step-by-step video tutorial for the procedure: https://youtu.be/wb4-U0TUB0Y