Trick to get Apple TV 2 into DFU mode
I experienced lots of trouble getting the apple TV 2 into DFU mode both during jailbreak and tether boot.
The only saving grace was the following site which suggested that you may also benefit from getting the device into DFU by first holding the Menu + Down arrow for a few seconds (until rapid blinking starts) and then holding the Menu + Play buttons for 7 seconds.
This is the only solution that works for me on my system.
Hope it helps you.