Yeah you still need to press the power button.
For some reason, on the new 950/950XL phones, they didn't come with the optional "double tap to wake" feature that a lot of previous Lumia phones have (like my 1520) where you can simply double tap on the screen (while Glance is on OR off) to unlock your phone.
Maybe they'll enable this feature with an update, or they just considered it redundant with the new Windows Hello Iris scanner feature, which will unlock your phone even faster.