The “require pin” mode “every session” under parental controls, should last until the app is exited/minimized.
As it is now it asks for pin code every 3 minutes or something like that, which is far too often.
Plus on the Apple TV the code is very visible for the kids when entering it, so they will quickly learn it when entering it all the time. 
The code will always be required when performing some actions (EG entering settings) but will appear less when actually playing items if you have the every session option selected.
With regard to entering codes, one way to avoid issues with people seeing the code is to enter it using the iOS Remote app.
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Thanks, yeah. Still, would be great if a “session” was an actual session in the app. It gets quite annoying entering the code so often.