It does sound a bit strange as I can change the sleep mode settings on mine. Have you tried a full shut down and resetting your reader. Not sure if this will help, but might be worth a try, and apologies if it was the first thing you thought of
If not, sony customer services in the UK are 0845 6000 124. US customers have reported surprisingly good results recently, so it might be worth a try, and if you haven't had it long then you could also try going back to the place you bought it from as they might replace it.