clamshell: sleep w/ext display connected

My understanding is that the MBP shouldn't go to sleep when closing it with an external display connected, is that right?

I have my late 2011 MBP connected to a NEC 2490 display, with Apple keyboard connected (and mouse connected to keyboard). I also have an analog audio cable connected to a Sonos speaker. With display connected and working (getting MBP signal), when I close the MBP the audio instantly stops, and external display loses signal.

I'm not sure if that's a sleep issue or not, but in any case it's annoying--any ideas? I can get clamshell mode to work, but there are often problems where I can't get the NEC to get a signal.