The way you wrote your initial post, it says you told the phone to never turn off wi-fi during sleep. That is why.
If you want wi-fi to turn off during sleep, uncheck "never."
A word of warning, though: if you have applications automatically updating in the background, allowing wi-fi to turn off during sleep ends up using MORE battery than leaving it set to "never."
Why? Because your phone then has to reestablish a wi-fi connection every time an app tries to connect to the Internet. You know, apps like email and weather...
You'd be best off turning wi-fi off entirely overnight, since the phone does a better job of managing LTE stand-by than wi-fi stand-by. I know this may not sound right, but I've read it other places and have begun doing so myself. It cuts in half the normal battery drain I usually see overnight.