Create 2 independent audio outputs to apple TV and headphones
An aggregated device is intended to play the same audio on multiple devices. As you want to play different audio on multiple devices, I can recommend several methods.


Use iTunes to play the video file on your Apple TV. You can choose the Apple TV as a playback device in iTunes, and stream the content to it without having to change your system audio device. That means, audio produced by other applications is still processed by your Mac (and therefore by your headphones, if they're plugged in)
Use VLC and another playback application of your choice in combination. Use screen mirroring to display the content on your Apple TV. Obviously, this will change your system audio device to the Apple TV, and any other audio will be played on the Apple TV, as well. But that's okay, because with VLC you can choose which device to play the audio on - seperated from the system audio device. So setup any playback application on the Apple TV, and choose Headphones in VLC audio menu for playing your video.


Obviously, the first method will work best, because streaming the video content from iTunes will require less bandwith than mirroring your desktop, resulting in less latency or connection drops.