@Ash > Obviously the standby mode is something that's becoming more prevalent in electronics, mainly to adhere to environmental concerns over excessive power usage - some countries even mandate its implementation on equipment now. Having the units power-down when they're not used is a good way to extend the life of the components (such as the displays), and you would certainly save on the electrical bill, but there isn't really any harm that can come to the player by leaving it powered-on.
To disable the sleep mode, find the setting under the UTILITY menu and turn it to off.