I jumped on board this week as well. This is not my first rodeo with Windows Phone, I've been through 3 generations (Pantech PN-820 WM5.3, Samsung Omnia II WM 6.5.3, Lumia 822 WP 8.1). I picked up the dual sim, unlocked model from the Microsoft Store when the deal was active.
I was pleasantly surprised by the set up process, from migrating from the previous WM 8.1 back up of my Lumia 822 to the new device (most everything came over alright). My phone had the Dec. 2015 firmware and OS and I didn't upgrade the OS or firmware prior to set up. However, afterwards I let the phone sit (it updated the store and apps for awhile) and then several hours later it alerted me to the new firmware and OS updates. Those applied without any fanfare. I'm only a day in with use but things seem fine.
Even getting set up on AT&T wasn't too much hassle. I tried at first to do everything online but it did not recognize the IMEI numbers from the unlocked phones. Unfortunately, I had to go to the local store but it turns out the rep. was quite knowledgeable about getting the 950s up with no fanfare. I was fearful of the switch from Verizon but it ended up being relatively painless.
I actually read the forum posts for quite awhile and read a bunch about issues and problems, etc., I read similar things way back when I first started with the L822 but my experience with the L822 was great so I'm hoping the L950 can carry the baton.