I assume you have tried a restart? If not try that, sometimes the system just needs a swift kick in the arse before it'll accept some settings.
Do you have any apps running?
Are you connected to a network?
Will it sleep from the finder's special menu, or just under the two circumstances you listed?
What was your previous OS (9.0 or 8.X)?
Is it just the system sleep that isn't taking or can you at least get the HD to spin down, etc. ?
What exactly are your settings? Can you give us a window picture?