iOS 9.2.1 was finally launched by Apple! This is basically a security update that aims to fix some "important" issues in iOS 9.2 Kernel.
Apple took the security very seriously lately, therefore iOS 9.x continuously brings new security patches to the iOS substrate. Jailbreak of course is being affected by these security updates, as the more exploits are being patched, the more chances for a future Jailbreak tool are destroyed. This is, of course, double-sided. See, the security is, of course, very important and should remain the top priority for anyone, not only Apple Inc. As an user, you are exposed to a lot of security threats while simply browsing up some pages. Malicious content is the last thing you'd like to have in your device, trust me! Jailbreaking, of course, removes the secure barrer created by Apple, therefore the user gets exposed to unsigned code that might and of course can, turn malicious.
Giving such code access to your credit card data and passwords isn't that cool anymore, isn't it? So this why Apple does not accept very easy the idea of Jailbreaking / Rooting the device.
They believe in a closed ecosystem and they try to bring the best when it comes to security. App Store Applications are safe and all of them are verified manually by editors before puiblishing them, thus showing us how far can Apple go when it comes to their users protection.
This doesn't mean that Jailbreak is a bad thing, but you have to pay attention to what you install.
Patched exploits list can also be visited here:
Check out this video to see a list with all patched exploits, to learn if you should update if you are iCloud Locked and Jailbreak status!