Can 'Find My Mac' work while the computer is sleeping?
If the Mac is sleeping there is no way for iCloud to locate it and it appears offline. 

However, as you noted, you can enable Wake for network access in energy preferences for it to periodically wake and check the network allow remote wake up using and AirPort.

When the Mac connects to iCloud next time, your commands (locate, lock, wipe, message/alert) are sent to it.