I've got two monitors, it seems that one of them is preventing the system from sleeping when both are connected.
The monitors are an ASUS VG255H and a Samsung S24E650DW, with a AMD RX470 GPU.
What seems to be happening is that when the screens blank, both screens start to go into power save mode, but the ASUS takes much longer than the Samsung. Both screens go black, and then both switch on again. My hunch is that the ASUS's shutdown is somehow waking up the system.
I also see this issue if only the ASUS is switched on (with the Samsung connected, but switched off).
If I run with only one monitor connected (either), power save works as expected, it also works if I run with the ASUS connected but switched off.
I've tried upgrading the drivers by installing amdgpu-pro as per https://askubuntu.com/a/1075790/3475 but that hasn't changed things.
This occurs on Ubuntu 18.04 and with a live USB of 19.04, it doesn't occur on Windows 10.