What do you mean it powers all the way down? Do you mean it shuts off and you have to reboot your PC? If you select sleep it should power off, but should be able to wake it regardless.
Is this a desktop PC or laptop? The only reasons a PC would fully power down (as if you were shutting it down) in sleep mode would be a bad PSU or the outlet/surge protector you have it hooked up to is faulty or your power tends to go out. I don't about any settings that would turn off the PC if you have it in sleep for a certain amount of time, should stay in sleep mode until you wake it up.