Forms 8606 are required for any year that you make a nondeductible traditional IRA contribution, you make a distribution from a traditional IRA and you ave basis in nondeductible traditional IRA contributions or you do a Roth conversion. (Also in years you make a nonqualified distribution from a Roth IRA, but that's not what we're talking about here.)
The fact that you did not file Form 8606 for 2015 or 2016 implies that you neither reported the nondeductible traditional IRA contributions made for those years nor reported the Roth conversions made in those years. I would prepare these forms for these years to make sure that the result was that the Roth conversion was nontaxable. I don't know if I would file them, though, since the IRS might charge a $50 late-filing fee for each. I don't think that there is much chance that the IRS would come after you for unpaid taxes as a result of these transactions; 2015 is a closed tax year (assuming that you filed before September 2016) and 2016 will become a closed tax year in 2020. Even if the IRS did determine an underpayment, say, because they treat the 2016 Roth conversion as taxable in the absence of reporting any basis in nondeductible traditional IRA contributions, you can just file the late 2016 Form 8606 in response to that.
Edit: You didn't previously mention any Roth conversion in 2017. If your contribution for 2016 was made in 2017 and you converted it in 2017, it would probably make sense to file the 2016 Form 8606 to report the nondeductible contribution for 2016. If that 2016 Form 8606 needed to have an amount on line 2, you would probably need to also file the 2015 Form 8606.
