No it is not the Monitor it is just the way things work if you are using the audio portion of the ATI card when the screen sleeps it puts the video card into a sleep state basicly turning as much of the card off as possible. You would need a audio card or onboard audio run to speakers for this to work how you want it to. HDMI will be turned of when video card goes to sleep. I do not think there is a way to change that. Only thing I can tell you to check is that your whole sytem is not hibernating/sleeping otherwise you need to reconfigure Oops just saw you are using nvidia card same deal though just run the extra wire and be done with it nvidia has strapped on hdmi audio support anyway.
When Windows (at least in XP) puts the monitor in power save mode, the monitor simply goes into standby mode which basically turns off the screen and the speakers. I just verified it on one of my monitors which is connected to my HTPC that has a sound card.
My monitor, as stated in my original post, will play audio when the display shuts off when it is connected via 3.5mm cable. I guess I'll have to either live with another cable or live with the monitor being on to keep the audio playing. This is only temporary anyway until I can move out of these apartments (Speaker system is too loud for the neighbors - even at low volume)