Fortunately, you can still customize it on your S6, S6 Edge, S6 Edge+, Note 5, S7 and S7 Edge with the help of a third party app known as Galaxy Button Lights. Download it for free from the Google Play Store and install it. Once you open the application, you will find that everything that was missing from the TouchWiz settings menu in terms of the capacitive key backlighting, they are all there.
You will get to change and choose in-between settings such as Time to remain on, Always on, Always off and Default. Adjust the settings according to your convenience and tap on SAVE BUTTON BACKLIGHT BEHAVIOR to apply the settings on your device immediately. Just to make sure that you are downloading the right application, check if the developer's name is mentioned as NotQuiteinsane on the Play Store's Download section. If it is, then that's the right app.