I just updated with the last development option available through OTA.
I deleted the koreader directory in my e-reader (I did a back-up first). I downloaded from the computer the version 2015.11-442 from
http://koreader-eu.ak-team.com/
I uncompressed it and I installed it in my kobo. Clean installation.
Same problem. The Screensaver option right after "Highlight options" is not available and I get exactly the same menu options with advanced settings ticked and unticked.
So it seems something is wrong with the option "advanced settings".
Anyway, because I have a clean installation with all the default settings I tried to use the new "screen server folder" option. When I put the e-reader to sleep it just shows me the last book cover. It ignores the directory I input in the screen server folder option. I guess showing the cover of the book is the default setting and I cannot change that behaviour because I cannot access the option to do that.