no it doesn't. for lumia 950 its using USB C as it uses to transfer data and charge through single port at same time.
at the moment no other models support it.
THAT usb feature is I guess for developers or something
The USB setting you're referring to allows you to control whether or not to allow a data connection - like when you connect it to your PC, and to alert you when you're connection to a slow charging source or cable.
No OTG on that phone.