I want to keep my Windows 10 laptop running even "when I close the lid". I understand there's an option in the "Power Options" where you can select "Do nothing" at "When I close the lid". But the laptop still goes to sleep after some minutes even when I have it plugged in. And I have not external monitor attached to it. I simply want to remote desktop to it all the time. Is this possible?
There is more than one setting to adjust. The one you adjusted basically stops the closing of the lid as a trigger.
The other setting has to do with inactivity of the user. It's for energy conservation, to shut it down when not in use, or security, to prevent access if you are away for a while.
In 'Power Options' change 'Change When the Computer Sleeps' to 'Never'