macOS is not Windows, not even close.
The setting in your screenshot has nothing to do with the power on the monitor. It does have to do with what the GPU is doing in the Mac. So, if the display is set in Settings, Lock Screen to "Turn display off when inactive" is set, for example to 5 minutes, then after five minutes of no activity, the screen will go dark. The monitor is still powered on, just the display is off. That saves most of the power consumed by the monitor. If you don't turn on the setting in your screenshot, when that timer expires and the screen goes dark, the CPU will then sleep, which leads to the drive disconnect issue as I described earlier. So, it's connected, logical and controllable. My settings are that the "Prevent automatic sleeping..." is ON, the "Turn display off..." is set for 5 minutes. I don't use any screensaver as those were originally developed to prevent "burn in" on CRT displays, a problem that doesn't exist with good quality flat screens.