If your computer immediately wakes up or fails to enter sleep mode after you select sleep with your Wacom pen, it is usually because the pen is still within proximity of the tablet surface.
Just like moving a desktop mouse will cancel or wake a computer from sleep, any tiny movement or signal from the pen while it is near the tablet will register as activity and keep the computer awake.
To resolve this, when you select sleep, immediately remove your pen from the tablet surface and place it in a stand, or on the table away from the tablet.