A small update regarding this problem...
Today a coworker bought a Lumia 950 dual-sim and had a chance to compare it regarding screens.
From the start it is visible that is a different calibration than mine: on the same color profile, mine is warmer, the other is a bit cooler.
Tested with videos, the ones mentioned in this thread and also with the test image. Although it is not too dark in the office, it was clear the difference. Mine has the horror calibration but the other doesn't. Videos look perfect, the test image seems good (for this one I still need to be a little darker).
Put side-by-side, mine is clearly bad... very bad, The other simply looks as it should.
So it seems that this is a problem of the screen after all, and early batches where bad. I'll make some time, along with my coworker to to go both at the service center and tell them the problem. Probably they will change the screen or the entire handest. We will see.
Later I'll try and make a test in a more darker environment and try to catch the difference.