No password required after Power Nap
I tried asking a similar question on the Apple discussion forum but wasn't allowed. It seems to be a bug. If you log out and log in the settings work as they should, at least they did in my case.
I could put my MBP (2010, running Yosemite) to sleep via the menu, close the lid or simply let it go to screen saver and then sleep, let it stand over night and still not be asked for my password, so I don't think its only a Power Nap issue.