I have an iPad Air 2, 64 Gb, wi-fi only. The screen stays on when I close the cover (no click sound) UNLESS I enable the Lock/Unlock toggle (and then there IS a click sound when I close the cover). Like others, I am used to having the screen turn off (with a click) when the cover is closed, but in the past it did not immediately lock; it waited until the respective Auto-Lock time had elapsed before it locked. I could open the cover and, if that time interval had not elapsed, the screen would light up (no unlock code required).
On my iPad mini 2, the screen goes dark (with a click sound) when I close the cover but does not lock until the Auto-Lock time has elapsed.
Both iPads are running iOS 8.1.2. So this seems to be specific to the iPad Air 2.
While my cases (on both the iPad mini 2 and iPad Air 2) are not genuine Apple cases, both function fine in all respects. To be precise, the case on the iPad Air 2 works perfectly when the Lock/Unlock toggle is turned on; but the screen does not darken when I close the case (nor do I get the click sound) if the Lock/Unlock toggle is turned off.
This means that, if I want to avoid unnecessary battery drain on the iPad Air 2, I must set the toggle to lock whenever I close the case; if it doesn't lock, it doesn't power down the display. That's not the way things used to be with my old iPad 2, nor is it the way it is with the iPad mini 2. Irritating.