When I put the CU Files of the May 2016 CU for SharePoint 2016 into the update folder, they are not applied. This is due to the naming convention, which seems to have changed. I have the following files in the CU:
sts2016-kb3115088-fullfile-x64-glb.exe
wssloc2016-kb2920690-fullfile-x64-glb.exe
sts2016-kb3115088-fullfile-x64-glb.exe
wssloc2016-kb2920690-fullfile-x64-glb.exe