This is because microsoft is being "helpful?". Sleep state is a microsoft thing that some bios manufacture partially support. It is not actually wake on lan. Wake on lan is a hardware function that does not depend on the OS that is on the disk. You have just the ethernet chip active and it has the ability to in effect push the power on button.
This mess that microsoft has made is one of the key reasons people have issue with wake on lan. You have to be very sure the machine is in a supported shutdown mode.
In general wake on lan is not very useful. Modern power save options cause the machine to consume about the same power if you just let the machine go into one of it idle options where it turns off the monitor and reduces the cpu clock but in effect stays completely on. If you follow the microsoft koolaid there are all kinds of proprietary settings in the OS that should do what you want without using actual WOL.
If for some reason you still need a remote boot option the way that tends to still always work is to not use WOL at all. Use the bios option that says boot on power. You then use one of the many fancy electrical outlets that let you turn power on and off from your network. You really should shut the machine down but windows will recover most the time even if you just turn the power off, kinda like it does with a power failure.