I am no longer seeing "Auto-Advance" in the Photo menu - has it moved? Trying to set up a Palette profile and Shift-X doesn't seem to work either.
Auto-advance is still available in the Photo menu in the Library module on my CC2015.12 (Win 10). It isn't available in the Develop module, however.
That said, turning on Caps Lock works in both places to enter auto-advance mode.
If this doesn't match what happens for you, you could try resetting the Lightroom preferences file:
Never Mind!! It just doesn't show in the Develop module, only the Library