I Have exactly the same problem. My setup is surface pro 4 i5 version and Samsung u24e850r 4k monitor connected via the surface dock. When surface is switched off or sleep, the external monitor will not go into sleep but going into an endless wake/sleep cycle. The monitor goes into sleep correctly when I disconnect the dock, though. When monitor is directly connected to the surface everything is fine.
Can it be a problem with the dock connector at the surface?
I already had contact to US and German customer service (Answer Desk). Both could not resolve the problem and they sent a replacement dock, but the problem still exists, even with the new dock.
All devices have been updated to the latest firmware and updates. I don't know what to do next... I am very unhappy with the situation... The service people said they don't have a solution...
Samsung Support says it is a Problem with the surface dock, which keeps applying power to the displayport in standby. It seems Samsung was able to find the bug, why does Microsoft not find and solve the problem?
I took a short video showing the problem: