It can be hit or miss for me. I have no idea why. I'll sync it, I'll make sure Cortana is working on the phone, etc and at times it just doesn't work. Not often an issue, but enough to be annoying.
Even when it does work I find it a bit ponderous. They really need to make it snappier and less cumbersome. Press and hold... Listening.... Thinking... read/confirm... press button or swipe... speak or tap...
Basically, I want Hey Cortana on the Band.