Having a similar issue with my 950XL (using the latest firmware and W10 build 10586.29). When I connect to the 5 Ghz band on my Xfinity modem/router, the signal will be fine for a short while but quickly begins to slow down. Eventually my phone loses the connection, and the 5 Ghz band disappears from the list of available networks. Rebooting the phone causes the 5 Ghz band to reappear, but connecting to it again has the same results.
Do not have any of these problems using the 2.4 Ghz network.
I suspect this is indicative of a firmware or driver problem because I do not have the same issues when connecting to the 5 Ghz network with my old Lumia 920 which is running the latest Windows 10 Insider build.