That's "normal" behaviour, I think. In order to go to sleep, it needs to see some kind of power event trigger, such as "lid is being closed". If the lid was already closed, it won't see that trigger.

Sure, the software (MS Windows) could be more clever, and note that the lid is already closed when the dock is disconnected, and treat that as a power event to suspend the notebook.

I'll check what Linux does now.. justasec.. Ahh.. it suspends the notebook (sleep) when I disconnect it from the dock while "on" with lid closed, which sounds like what you want. It also wakes up the suspended laptop when the dock is reconnected, contrary to what I want, but no deal breaker by any stretch!

I must say (again), the suspend/resume and dock/undock behaviours and reliability are thus far quite excellent.