Only data is turned off (cell or wifi).... However, this won't happen immediately when the screen is turned off... (except you specify the time to turn off and to turn on). The idea is that if you use the automatic setting, the phone will start learning the periods of inactivity (long periods of sleep mode) and turn data off to conserve power., But if you do not set the timer, as soon as you turn your screen on, data will connect as it comes out of sleep mode...
.. this is how I understand it ....