Hi guys. I recently found myself having the same HC-12 Sleep problems and want to share my findings. In order for HC-12 to proper go into sleep mode, you need to add a 0.1uF decoupling capacitor between SET and GND pins. After this, AT+SLEEP will work as expected.
Thank you for your info, but do not treat it as general rule .
I successfully use a HC-12 sleep mode without the capacitor.