For anyone following this. The solution is to NOT use the drivers that windows download, and to go and get the HP drivers from the HP website. The HP Drivers force the unit to wake up regardless of the settings in the printer. This has been tested on Ethernet as well as wireless.

Can someone tell me how to create this "wake event" I have a M402DW with the same issues. but I cannot set the sleep or auto power off to never, there is only a time delay on these options.