Hey Cortana has been updated by Microsoft on only Lumia 930 and Lumia 1520 running Windows 10 Mobile. This update has surprisingly not come to Lumia 950 and Lumia 950 XL yet.
Coming to what changes this update brings, it seems to bring some UI tweaks and a new training method for Hey Cortana. You can now train by saying Hey Cortana five times in a row. The update may have also fixed an existing bug that was not letting some of the users use the training program for Hey Cortana. The update also brings the option of using Hey Cortana always or when the screen is on or phone is charging.
You can check for the Hey Cortana update by launching the Store.