You can build that, or something close to it.
Start with the blank Theatre View View, just like the Name View, add a Detail item to it, edit that item to Group by one, or as in my example, three. Grouping by three groups all the numbers, 0-9, together, which works much better for me.
Don't forget to Toggle List Style on the detail View which shows the individual movies to what you want. Also, turn off the "Display All as a choice" option, unless you prefer to see that. I guess it is a good option when you just want to scroll through the list.
Done. Close anyway.
Still not the original request, but improves the navigation if you want to jump to a section of movies quickly, without a number pad on a Remote Control.
The think about adding a sort by [Last Played], or maybe the watched() function, so that within the movie letter Group, movies are sorted by when you last watched them, in reverse order of course, so that unwatched movies or those watched long ago appear at the beginning of the list.
But then all the old cruddy movies that you have but never watch would appear at the beginning of the list. So maybe add in another level in the View called Rating and based on the [Rating] field. Then as long as you have given the movie a rating in the past, you can select you movies first by rating, then by the letter the name begins with, and then have a scrolling list to chose from, sorted by the last time the movie was played or watched (those two are slightly different, though often do give the same date, depending on how far through the movie you watched last time).
Or maybe just exclude movies you have rated zero, or zero to two.
Really, the View possibilities are endless, and not difficult to build as long as the metadata exists, (i.e. Ratings), and you know what you want.