This is going into a brand new category I'm calling Windows 10 Bugs. I don't manage a lot of computers (around 40), but I still run into very nasty issues that arise out of Windows 10 and it's forced updates.
This one affected a Dell Venue 11 Pro 7130 MS tablet running Windows 10 professional, build 1903 / 18362.356. I'm sure it affects others, but googling "windows tablet Power button won't turn off screen" and variations on this theme didn't turn up much except for a futile post on WindowsCentral and another who encountered a similar issue on a Microsoft Surface Pro. The latter included a post by someone who mentionned that disabling "connected standby" brings back the ability to set the power button to turn off the screen. And indeed it was so! Who would've thought. Another completely useless feature built into Windows machines that has the effect of (1) slowly draining your battery when your PC is "asleep" and now (2) disabling turning off of the screen with the power button.
So the solution is to use regedit to change
HKLM\System\CurrentControlSet\Control\Power\CsEnabled from 1 to 0 and then restart.
Note: this may affect other things, so proceed at your own risk and consider reading through this forum before doing so!