Hi windowsfreddy,
Yes, sleep mode will indeed interrupt the download and backup process when your computer enters sleep mode. Sleep mode does not wait for the download and backup to complete. Windows Backup skips the backup and waits for your next scheduled backup
Sleep is a power-saving state that allows a computer to quickly resume full-power operation (typically within several seconds) when you want to start working again. Putting your computer into the sleep state is like pausing a DVD player—the computer immediately stops what it’s doing and is ready to start again when you want to resume working.
Refer the following article for more information on sleep and hibernation:
Sleep and hibernation: frequently asked questions
Hope this information helps.
Gokul - Microsoft Support
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