Are you closing all applications before putting it to sleep?
There are, as you realize, settings for requesting a password when the system comes out of sleep. If that is not working correctly, perhaps you are not really putting it to sleep, but it is waiting for some misbehaving application to sleep first.
If this is a laptop, reviewing the options for the lid might give some info, depending on how you are putting it to sleep.
If you want, you can run a utility to check your system and is supposed to alert you to potential power problems. You need to shutdown all open apps you can and let the utility run for about a minute until it finished. After it is finished, make note of where the .html file is stored and copy that file to the desktop to open.
So, open a command prompt window and type powercfg -energy and just let it do its thing.
On the report, you may see an error in one of the top entries, but the USB warnings are fairly normal, but not always. Lower in the report, it may make mention of some app that is using CPU time or refusing to shut down or whatever.
Let us know.