Samsung's Galaxy S6 and Galaxy S6 Edge haven't been out for purchase for very long, yet that doesn't seem to be stopping Samsung from getting the newest version of Android Lollipop out to users. According to SamMobile and a T-Mobile user who owns the Galaxy S6 Edge, Samsung and T-mobile seem to be sending Android 5.1.1 Lollipop out to Galaxy S6 Edge devices. This appears to be an official roll out of the latest Android Lollipop software, but since this is a Galaxy S6 Edge there is no way of knowing if Galaxy S6 owners will be getting their own software roll out for this particular update at the same time.
while there is no clear confirmation on if this update will be promptly heading out to all Galaxy S6 Edge owners immediately, the video below suggests that at least some users may be seeing the software popping up alerting them to the available download. In the video the owner of the device navigates to the settings and the about phone section of the device to display that it is indeed running on Android 5.1.1 Lollipop, and it's also worth noting that if your Galaxy S6 Edge is rooted with an unlocked bootloader or at least has an unlocked bootloader, performing this update seems to re-lock the bootloader of the phone.
The user demonstrates this by explaining that he was attempting to root his device only to find out that he was unable to do so because of the bootloader being locked again. As with all software updates, it can take days before all device owners using the same model phone receive the software update alert in their status bar, but it wouldn't be a shock to see a larger group of users getting the update by the end of the week. At this point in time there is no telling how large the actual software package is, but before downloading it's always recommended to have more than 50% battery life, and it wouldn't hurt to be connected to WiFi as software update packages can be larger than 100MB. What all changes the software update brings to the Galaxy S6 Edge are unclear at this point, but since it wasn't a huge update from Android 5.0 Lollipop tp begin with, there likely won't be any major changes to look out for.