Same thing happened to me with the 5.1.5 update. And now it's happening again with the 5.1.6 update. Seems to get hung up on the image files being updated.
My only recourse last time was to manually download the wordfence update, unzip it and manually delete the old version of wordfence and upload the new version to my server via ftp.
I have autoupdate checked in my wordfence options, but for the last two updates it hasn't auto-updated. I have wordfence running on another blog I admin and the updates happen automatically just fine.
I'd love to see this resolved. It's a time bandit to have to manually update each time.