my screen does not shut off automatically

Try a reset: Simultaneously hold down the Home and On buttons until the iPad shuts down. Ignore the off slider if it appears. Once shut down is complete, if it doesn't restart on it own, turn the iPad back on using the On button. In some cases it also helps to double click the Home button and close all apps from the tray before doing the reset.

After completing the reset, go back to Settings and verify Auto-lock is set

Go to Settings > General > Auto-Lock and set the time to something other than Never.