You are right in that you need to add a select field to the team entity (Channel table). However, you also need to tell the system to treat it as a Territory field, which you can only do directly in the database.
1) Go to Administration > Customisation > Secondary Entities > Team
2) Add a new field:
Entry Type: Selection
Column Name: chan_secterr
Caption: Territory
Lookup Type: Create New Lookup
3) Run this query in SQL Management Studio:
UPDATE custom_Edits SET colp_entrytype = 53 WHERE colp_colname = 'chan_secterr'
4) Perform a Metadata Refresh (Administration > System > Metadata > Refresh All)
5) Add the field to a screen and it should show all the Territories.
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