My new iMac does not go to sleep

I just received my new iMac and everything looks great and seems to work fantastic compared to my 9 year old Power Mac G4. I set in my System Preferences under "Energy Saver" for my Mac to go to sleep (Hard Drive) after 20 minutes. My Mac does turn the monitor off but it doesn't go to sleep unless I choose "Sleep" when leaving my computer. Does anyone have a suggestion of what to do? Has this been a problem with the 21 1/2" new iMacs?

Thanks!