I have the same problem with a new Lumia 950. I have three accounts and the Hotmail one syncs automatically, but both a POP3/SMTP account and a Microsoft Exchange account both require me to choose to sync.
I have looked for settings everywhere but cannot find anything relevant, and MS "Answer Techs" are no help at all with this OS currently - they didn't even know that the Lumia 950 was made by them! I set up the phone on a restore from the Windows 8.1 phone I had been using, which always synced all accounts automatically over both Wi-Fi and mobile connections.
Assuming there is one, where can I find the setting?