I googled your issue and found that others have reported a similar problem (eg, do nothing option missing) when using a 3rd party power manager instead of allowing the Win 8 (inherent) power manager to be the primary source of control. Several of the complainers were owners of HP laptops. In my case, I have a Lenovo laptop, that came with its own power manager, so I immediately uninstalled it and let Win 8 handle the power schemes directly.
This is a new Sony Vaio. I uninstalled the Sony configuration stuff, no change. All it did was open the standard Windows power settings anyway. I just got off a live chat with Sony Support, they said that option isn't supported, full stop. He said no current Vaio models support doing nothing when the lid is closed. I refrained from switching to all caps and disconnected. All I've done with this thing so far is let windows update run and get Start8 installed so I'm thinking re-install from a clean retail ISO and call it good.
Just my two cents. I'm not totally sure that a clean install will fix your issue but there is a good possibility that it will. However, even when I uninstalled my Lenovo power manager software, I still had to install a Lenovo ACPI power management driver (even though Win 8 was now in control). Fortunately for me, I never had your problem. So, if you get stuck in the same position as me, and you are still required to download a Vaio power management driver, you could end up back at square one. Good luck.
Restoring the default schemes has no effect. Turns out for this model the Sony power management service is bundled in with the hotkey software. So, if you want to be able to, for example, turn off the touch pad, you're stuck with it. The power management doesn't get it's own uninstaller.