It's a strange behavior I observed with my 13" Macbook Pro retina and its external display, which is a Dell 2410U. The external display is connected using a Thunderbold-to-DVI adapter.
I use the keyboard combination Shift ⇧ + Control ⌃ + Eject ⏏ to turn the display of the Mac off (sleep) and lock the computer when I leave the computer for a while. Doing this also put the external display in Power Saving mode. This works well if I haven't put the computer in sleep mode.
Once the rMBP's lid is closed and the mac comes to sleep, after waking up, the external display cannot go to Power Saving mode anymore if the rMBP's display goes to sleep. It keeps a "blank" screen with the backlight on.
I still can use the external display once I unlock the mac. It just doesn't go to sleep (Power Saving mode) with the mac's internal display.
Please advise. Thank you in advance.