MBA won't wake from sleep while connected to VGA Display

Since a few days I'm using a VGA Display connected through the official Apple Mini Displayport - VGA Adapter. However, when I put my MacBook Air to sleep and then close the lid (otherwise closing the lid will just continue on the display). Keeping the monitor attached, it won't wake from sleep anymore. Disconnecting the adapter at that moment won't make any difference. What troubleshooting steps can I make?