MacBook not asking for password after sleep
Not sure if you set it in the correct place, but the setting should be at:


  
  Choose Apple menu > System Preferences, click Security &amp; Privacy, then click General.
  Select “Require password… after sleep or screen saver begins.”
  Click the pop-up menu and choose the time that passes before a password is required.
  


Source: OS X Yosemite: Require a password after waking your Mac