first, I would assume your always on display is on... (that sounds funny)
Then you pull out your pen while the always on display is active, and this will allow you to write a screen off memo.
At the top of the screen is a pin. Press it, and it will "save" the memo and pin it to the always on display for an hour.
if that isn't working, then you need to go back into the always on display settings, go to the about AOD, and check for an update. Many devices needed an update to the software to make it work. Then repeat the steps above.