I use a docking station with 2 external monitors and keep my laptop lid closed when docked.
In Gnome's power settings, I have set "Do nothing" when laptop lid is closed and this works fine (after adding the option manually through gconf-editor). However, when the screens are set to go to standby, they actually just blank, rather than changing their DPMS mode. This wastes electricity.
If the laptop lid is open, the monitors go to standby as expected. Things also work correctly when not logged in (in GDM) so I think it must have something to do with Gnome.