I found solution:
Sleep - Never
Turn off display - Never
After this you have to turn off monitor manually if you want to save some energy. I really tried everything - cables, reset, different bios, jumper reset, windows reinstall, every gpu driver, unplug 1 memory, unplug everything.
Computer is cute, but this problem is not so cute.
I havent time for analytics, testing and bug reporting, sorry. I turn off monitor manualy and set sleep to never and also power saving mode to never for now. I hope you will find something. So monitor is on 24/7. If you want to test, do your own test with 8th gen NUC, LG UK650 4k monitor via HDMI and try to lock windows screen with win+L, where monitor will go in powersaving mode in 1min. Monitor will not wake up for sure if you are away 6+ hours after this.