Where is that?
I also came here because of this problem, just upgraded to Android 6 and FUMING with anger because I did. I have a Samsung J700F
I tried this method -- and I don't think it's tackling what's expected.
I have the same issue. I have an S7 and I receive a message, resulting in a notification. I expand the notification on the lockscreen, and tap the notification area. I'm then prompted to SWIPE UP to unlock the phone.
With the proposed fix (Settings > Lock Screen & Security > Secure Lock Settings > Lock Automatically > set to 'Immediately), the issue remains. This proposed fix is simply the time-out of "how long should the phone remain UNLOCKED once the screen goes dark.
Perhaps I'm missing the issue here from the OP, but I believe I'm correct in my problem statement.
I'm frustrated with this, too.
I guess I can understand the use case scenario of "the phone receives a notification, the phone is in the pocket and THIS feature ensures the phone will not be accidentally unlocked".
And as for the suggested fix of removing all lock screen security -- not an option for me.
I have work email on the phone and sensitive data -- I'd rather not leave the phone open for anyone who wants to get into any area of the phone.