There could be an app that is causing that, there is a system permission for preventing the display from going to sleep. If you go to Settings -> Applications -> Manage Applications you'll get a list of all your installed apps. Once here you can hit Menu -> Filter -> Running to get just the running applications. When you click on one of the apps, it will show you the permissions it has (it will be under the heading of System tools).
Someone else may know of a way to find out what app is doing that, but hopefully this helps