That setting also changed on my lg g3 after updating to 6.0. The only difference is that now after tapping the screen twice, or lightly pressing the power button, the dial pad doesn't automatically display like it used to, which is cool with me. I love to see my wallpaper first.
Wait. Are you saying that you lock your phone but when go to unlock it you have to press the lock (which is an unlocked padlock icon) to be able to use your pin? This means that you don't have the setting to lock immediately. Go to Lock Screen Settings----Lock Time-----Security Lock Timer and change it to Immediately after screen time out. Also, check the box for Power Key Instantly Locks.