This is a really annoying 'feature' of Marshmallow and no amount of fiddling with settings can remove it on vanilla Android, so you're lucky if your non-standard Android has an option for this.
The stupid thing is, you can enable location based Smart Lock, at work for example, and then one swipe fully unlocks the device whilst at this location, completely bypassing your security method. This is great to get around this stupid, extra lock screen, but you're actually making your device more vulnerable, as anyone can access it at that location if they steal it.
All we need is an option in base Android to remove this extra lock screen for those of us that don't want it.