It's because "Sleep" is not the same as "Turn off LCD". :)
The proper definition of "sleep" on a computer is that all processes and hardware stops, and the machine maintains a sleep mode that supplies power only to RAM to hold the memory content.
If you just want to turn off the LCD, press the darken screen key (F5) till the screen turns off.
EDIT what a klutz - it's F1 instead (small sun symbol) to darken the screen. F5 is to darken the keyboard backlighting.
Also, you can always set under Energy Saver > Display Sleep to be at 1 minute or so.