Please confirm if you can do the same as I did in the video. The problem is reported to Apple with support case number 1047696883 on 12 febr 2016 and they should come back with feedback within 4 days (it has gone 8 days now). No problem sharing the hotspot with my iPad and Windows PC. The problem also exist if you share your hotspot with a MacBook that is using a different iCloud user, so the problem seems not to be with the iCloud 'peering' between the iPhone 6s and the MacBook. And 'yes' everything standard as 'factory reset' // reset SMC // reset NVRAM has been done on my equipment. The phenomena is 100% reproducible with any iPhone 6s and MacBook Pro I have tested also on other brand new units on Apple Store // Genius Bar done with help of Apple employees to be sure that it is not me that is doing something wrong. I show this on the YouTube video link below.
If I turn off bluetooth on the MacBook (after it has been used to fire up the wifi hotspot on the iPhone 6s) the wifi connection becomes ok.
In my case it seems like it is a interference between WiFi and Bluetooth.