Last week a reddit poster shared a that his T-mobile Galaxy S6 Edge had received an OTA update bringing his device up to Android 5.1.1. He also posted a photo which showed that his bootloader was locked, or at least that is what he thought he was seeing. Their was a message in the bootloader "Custom Binary (RECOVERY) blocked by FRP lock. FRP simply means that Factory Reset Protection is prohibiting the phone from flashing a custom recovery. This is a security feature included in the latest version of Android which makes it difficult for a thief to take over your phone.
You can re-enable the bootloader unlock in developer options from your settings menu. This turns out to be no big deal. You can feel comfortable about accepting the latest ota update and know that you will still be able to mod and rom on your device.