So you go into Power Options-System settings and set the power button to sleep. You then hit save, I assume.
If you do the above and it changes back, could it be your system has problems sleeping and the system resets itself for your protection? Is this a Laptop or Desktop?
But I suppose something might be corrupted. Maybe you could run a system file check just to see if anything shows up.
Open an administrative command prompt and type sfc /scannow
To open prompt, type cmd in the Start Menu search box and hit CTRL+Shift Enter.