I downloaded and built boost_1_68_0 (bootstrap and b2) with VS 14 on Windows 10. I verified the build by running bjam in the lib\regex\example folder, which ran without error.
When I try to do the same thing in the lib\python\example folder I get this error for each link: LNK1181: cannot open input file 'boost_python.lib'
I verified that the boost_python.lib variants (libboost_python36-vc140-mt-gd-x32-1_68.lib, libboost_python36-vc140-mt-x32-1_68.lib, and x64 versions) are in the F:\Dev\Boost\boost_1_68_0\stage\lib path and that this path is set in LIB of msvc-setup.bat.
Normally I wouldn't worry about this and would just build from the IDE, but the boost documentation made me worry that I'd run into trouble if I didn't use bjam....