For myself, I expect to be able to close the laptop and continue using the external display.
OTOH, one can still reasonably use a closed laptop if it has a display plugged in, so closing the lid no longer implies an intent to stop using it. Because of this alone, going to sleep in this context might not be the most sane default.
Some examples of when I've personally closed a laptop with the screen plugged in without wanting it to sleep:
* Working at a desk where the laptop doesn't fit with the lid open * Starting a video when connected to a TV in a dark room, where the laptop's screen is a distracting source of light