Just for reference, I've been doing this for a few months now. I'm not sure what's changed, but you'll need ubuntu 16 (you can uninstall 14 and reinstall WSL to get it) in WSL to do it.
You don't HAVE to nuke & reinstall your Linux environment to get up to 16.04 - we also support in-place upgrades too ... so long as you're running a Windows Insider build >= 14951
HTH