I have the 950XL, and I can't seem to find how to configure the phone to wake up after a double tap. This worked on my lumia 1520, but does not appear to be the default configuration in Windows 10. I'm hoping they have not dropped the feature!
Double-tap to wake is currently not supported on the Lumia 950 or 950 XL. It's speculated that support will be added at a later date, but as far as I know no official statements have been made.
For more information, see Does my Lumia support double tap to wake up?