The laptop display goes to sleep and the external monitor stays on! When I select "Sleep" in the Apple menu, the Monitor, laptop CPU , external drives, and the laptop display all sleep. When I want to start up again, I just hit the space bar (or any key), and the system shows up on the monitor but the display says off.
I think you have to pay attention to the Energy Saver settings. In my case for the Power Adaptor (Custom), I have both the computer and display sliders set to NEVER. For the battery settings (Custom), The computer slider is set 15 min while the display slider is set to 2.5 min.
MamaMoose