I exchanged my Samsung Galaxy Note 4 (the phone that is not exploding) with an Microsoft Lumia 950 XL (Windows 10 Mobile).
Please no discussions here if this was a good decision or not, this was my choice and I thought about this carefully.
I recognized that Norton Mobile Security is not (yet) available for Windows 10 Mobile.
I know that this OS has a very low market share, but I believe that Windows 10 Mobile will become more and more popular when Microsoft releases the Surface Phone.
So is Norton Mobile Security for Windows 10 Mobile planned?
This would be the first Scanner on Windows 10 Mobile.
I also use lumia 920 with windows 10 mobile. I installed VPN network to protect my security and privacy. I chose ExpressVPN. It has high connection speed and it seems quite reliable. Anyway I don't have any regrets.
Aside from the market share issue, there are technical reasons that AV is not a priority for Windows phones. There are some good links in this thread that help explain how the Windows mobile OS does the job of protecting itself. Although the users in that thread may not have your phone make, the information applies to the OS.