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Okay, to address the points here:

1) Marshmallow doesn't have the option of "Scanning Always Available" as it was in Lollipop.

So, what to do?

2) Marshmallow still has these options, only now they are fragmented and redistributed. It is now under:

Settings->Google->Services>Location>3-dot menu->Scanning->Wi-Fi scanning

Also, there are:

Settings->Wi-Fi>3-dot menu->Advanced-> Keep Wi-Fi on during sleep

and

Settings->Wi-Fi>3-dot menu->Advanced-> Network notification,

if you are paranoid about battery. If you want pictures, please post a comment.