I have exactly the same issue.
I picked mine up Saturday morning and have been trying to figure it out since.
Be careful when it is in this mode too. I believed mine was actually in sleep mode, and put it in my backpack. I pulled it out an hour later, the fan was running and the thing was hot enough to fry an egg on.
I went through MS surface online support. They gave me the sequence to perform what is essentially a battery disconnect and the issue seemed to be resolved. The surface performed normally, sleeping when the button is pushed or the cover is closed and recovering
as it should. The only problem is, this lasted for 30 minutes and since it's been back to the same behavior.
I will do some tweaking today to see if there is something I can maybe change in the advanced power options.
I'll post anything here I find.
Cheers