Same problem with my Windows 8.1 Thinkpad 10. "Sleep" and "Turn off display" are both the same thing! It's frustrating if you want to listen music.
Microsoft want to compete with Android? - Keep dreaming... They can't even fixed this very basic problem. Should have an update in the next business day!
Anyway, as temporary fixed, I set the registry key HKEY_LOCAL_MACHINE\System\CurrentControlSet\Control\Power\CSEnabled to 0. This will disable the sleep function and turn-off the display instead. The disadvantage is I need to shutdown my computer if I want
to turn it off.