I have a Lumia 920 which allows me to select "never" for the "screen times out after" option. I like this since I can decide to leave Groove Music on the download screen while multiple albums are downloaded. Having the screen timeout is problematic since the downloads only complete if the screen is "on".
I just upgraded to an unlocked Lumia 950 XL from the Microsoft Store. This phone doesn't have the "never" option. The maximum timeout is 5 minutes.
How can I get my screen to never timeout?