I am pretty happy with the combo I have currently but this issue drives me nuts.
I am using Macbook Pro 15" mid 2015 with Dell P2721Q 4k monitor connected with DisplayPort to Mini DisplayPort cable. I am also using Apple Magic Keyboard and Apple Magic Trackpad which are irrelevant to the issue but still I have to mention them.
The laptop is closed (clamshell mode) and everything works except when I have to restart the laptop.
When I restart it the monitor loses signal. I press keys on the keyboard and tap the trackpad but it never awakes.
Preferences > Bluetooth > Advanced > Allow Bluetooth devices to wake this computer is enabled.
If I open the laptop and wake it from its own keyboard it works but I do not want to do that every time as I have 4 cables connected to the laptop (power, display, USB3-USBC for the monitor hub, sound) which are tied with velcro and its not the most convenient thing to unplug and plug them back in in order to to wake the laptop.
EDIT: I noticed I may have mislead you with the statement above as when I restart the Mac I cannot wake it even if I open it. I have to long press the power at least twice and it goes to the password recovery screen.
I have to note that sometimes when I open the laptop it is in a Password Recovery screen. I reset the NVRAM and I think this issue disappeared but I try to not restart my laptop often because the whole procedure is annoying so I cannot confirm this Password Recovery issue is trully gone.