Please note, this feature will only be available on new Windows 10 devices that support USB Dual Role. This is because of the hardware changes required for the USB port to support device enumeration. While there are devices in the market today that have USB Dual Role capable controllers, the platforms were not designed to support USB Dual Role. New hardware may advertise that they are Dual Role capable.
I take this to mean that while existing Lumias of model name equal or less than x40 may have a capable SoC, it was not enabled physically on the motherboard since Windows Phone 8.1 and below were never going to support OTG in the software.