I sent an email to amazon about this very subject, and here is their reply. There seems to be no difference, as I suspected, so you can do whichever you want with no worries.
"Because the screen is is inactive there is no significant difference
between having your Kindle turned off or in sleep mode as long as the
wireless is turned off.
However, we may release kindle firmware updates which are downloaded
and installed while the kindle is in sleep mode with the wireless on."