What an interesting thread!
Actually I was surprised Sony didn't include this option and I expected that to be one of the most basic things for an eReader (ever since I first dreamed of buying one). I guess technology advanced too far and displaying the last page that was being read is no longer an option... I agree that "screen saver" is not the best term though.
Anyway, it would really be trivial for Sony to include 4 options for sleep mode: blank screen, last page, book cover, custom image. It would have made no difference as far as battery drain goes. And it would keep everyone happy. Together with the "Show Message" option enabled, even the annoyance (of not being aware the device is asleep while having the last page displayed) would be avoided.
It's probably pointless discussing this any further since Sony didn't included this option, and unfortunately, it's probably something too complex to implement by hacking the firmware...