Yes, the latest 16.0 Update 3 supports till Visual Studio 2015 Update 2. So Visual Studio 2015 Update 3 is not officially supported yet.
See release notes:
I suppose this means that the full range of testing against VS2015.3 may not have been completed before PSXE 2016u3 was released. As far as I know, it works OK, and the next update presumably would reflect that. You could expect attention to any problem reports in the mean time. I know of no practical way to use it with VS2015 if there is any problem with VS2015.3.
Somewhat related, in my experience, PSXE2015 doesn't work with VS2015.2 or .3, although the docs seem to claim support.