its perfectly fine and doing what it should be. As when you turn your computer to sleep mode the CPU is doing next to no work what so ever. Which means that it is producing very little heat so your motherboard turns it off as it's not needed. If you plugged the rest of your fans into fan headers on your motherboard rather than using molexes straight from the PSU you would see this happen with them too. You would also get much quieter fan speeds as your motherboard will be able to control how fast they spin reducing noise. Rather compared to molex where they will just be full on the whole time.
Anyway back to your original question. Yes it turns off because the motherboard tells it to turn when the computer goes into a low powered...