Testing things i tried a linux distro, Pop_OS with nvidia drivers, and it works perfectly(expect a few things unrelated to this problem). Tried stressing the cpu to heat it up and when the screen turns off the fans keep going like they should, so this just reaffirms that something is wrong with the software or drivers on Windows say Armory Crate or Asus System Control Interface.
Maybe something with the latest windows version ? I did a complete windows 10 reinstall without armoury crate or other asus related software and my system still shuts it's fans down when the screen goes to sleep. Also sleep/hypernate mode isn't working
Question for you since you have installed windows without asus armoury crate:
Do you have access to the windows (default) Advanced power control options I.E can you access minimum & maximum processor state settings and all the other settings that Armoury crate takes control of by default?
Sleep/hibernate mode go to:
Control Panel\Hardware and Sound\Power Options\System Settings Click on the UAC link "Change settings that are currently unavailable".
Honestly, I find sleep/hibernate and screen off to be a pain in the ass and cause issues with Asus software... so yea I disabled it, ALL of it. even fast startup as that **** causes issues and has BSOD tendencies and that **** happens on dell laptops too so yea no a fan of anything that turns the screen off if I'm not doing anything.