According to Apple, not all providers or apps support single sign-on. As you've already discovered, sometimes you need to sign-in to an app separately. This isn't just with Apple TV; I have a Roku and it does the same thing.
Normally, I would paste the names of the TV providers and apps that support SSO. However, this list is very long and often changes so posting them here doesn't make sense. Instead, I'll post the links to Apple's site that contain the lists. That way, it should always be up-to-date.
Here's how to see a list of supported apps by provider on your Apple TV:
- Open the App Store.
- Choose the Featured tab.
- Scroll down and look for either an icon called TV Providers or an icon of your specific TV provider. Select the icon to see apps that support single sign-on. The list of supported apps might update as apps add support for single sign-on.