Shuts down when connected to external monitor

Hello,

My new 16" MacBook Pro running on 10.15.5 (latest version) shuts down instead of sleeping when I close it while connected to my external monitor.

For example, last night I was working on my computer and it was connected the external monitor via HDMI + adapter. When I close the laptop (not turn off, just close it) while keeping it connected to the external monitor, the display appears on the external monitor (normal so far). However, instead of going to sleep after several minutes, it turns off... The computer works completely normal when not connected to the external monitor and is brand new.

Things I have tried:

1. SMC reset
2. NVRAM reset
3. Boot in safe mode
4. First Aid
5. Wiping Hard drive and reinstalling OS

Any help would be greatly appreciated!