When creating a Power Management policy that powers ON your devices and scheduling it, the "Wake Up Devices" box is automatically checked into the generated task's properties.
This causes your devices to be powered ON but then after that, powered OFF by the "Wake Up Devices" feature.
First, open your database, and go into the table dbo.LD_TASK and find our generated task with its ID:
The main task has the LD_TASK_IDN 43, but the one that is generated and we want to modify has the LD_TASK_IDN 44
What we will do is to modify that task's behavior into the SQL database by executing this command:
UPDATE YOURDATABASENAME.dbo.LD_TASK SET TASK_WAKE_MACHINES = 0 WHERE LD_TASK_IDN = 44
Because the task generates other tasks with the same ID when powering ON a device, this command will actually disable the "Wake Up Devices" feature for our tasks.
You should now have your Power Management Policy working.