There are multiple reports online with AT&T users having this issue with the 950 XL. Be warned that this software is for advanced users and you can really mess things up if you don't know what you are doing!
The steps below are what fixed it for me:
1. Download the Interop Tools for Windows 10 Mobile and follow the instructions to get it installed: http://www.windowscentral.com/interop-tools-windows-10-mobile
2. Edit the registry settings as noted by user imbushuo Wang on the Windows Central forums here: http://forums.windowscentral.com/microsoft-lumia-950-xl/414723-mobile-hotspot-tethering-950xl.html
- Open Interop Tools for Windows 10 Mobile. Find it in Settings > Extras.
- Open registry editor and enter the following :
Registry Hive: (select) HKEY_LOCAL_MACHINE
Registry Type: (select) String
Registry Key Path: System\ControlSet001\Services\icssvc\Settings
Registry Value Name: EntitlementRequired
Registry Value Data: 0 - Tap Write Data
- Type DedicatedConnections in Registry Value Name field
- Tap Read Data
- Clear out the Registry Value Data field (so it's empty)
- Tap Write Data
- Reboot your phone and try your Mobile Hotspot!