In June of 2017 the article "Server requirements for Skype for Business Server 2015" were updated to list Windows Server 2016 as an operating system "that will allow you to install and successfully use Skype for Business Server 2015."
How to install Skype for Business Server 2015 on Windows Server 2016". This article does not specify how to prepare the Windows 2016 Server before running setup.exe and downloading CU5. So, besides installing all available updates for Windows 2016 I used the following powershell command to add required components:
Add-WindowsFeature RSAT-ADDS, Web-Server, Web-Static-Content, Web-Default-Doc, Web-Http-Errors, Web-Asp-Net, Web-Net-Ext, Web-ISAPI-Ext, Web-ISAPI-Filter, Web-Http-Logging, Web-Log-Libraries, Web-Request-Monitor, Web-Http-Tracing, Web-Basic-Auth, Web-Windows-Auth, Web-Client-Auth, Web-Filtering, Web-Stat-Compression, Web-Dyn-Compression, NET-WCF-HTTP-Activation45, Web-Asp-Net45, Web-Mgmt-Tools, Web-Scripting-Tools, Web-Mgmt-Compat, Windows-Identity-Foundation
After running the command above my "Add Roles and Features Wizard" looked like this:
And before running the Skype for business Control Panel I had to download and install Silverlight just as described in my article about "Skype for business Server 2015 prerequisites on Windows 2012 R2".