That's because your Mac was never asleep, so it cannot "wake" 
I just curious: what don't you want to allow it to sleep?
See Triggers (KM Wiki).
Is there some activity, some app that you always do first thing, when you'd like the macro to trigger? IOW, since you are NOT waking your Mac, what event would you like to use to trigger the macro?
I have two macros I use every day: (1) On Wake; (2) Sleep.
#1 works for me because my mac was asleep.
But, of course, #2 I have to trigger manually. I have found that Trigger Macro by Name action (KM Wiki) works well for me. I just press the "Trigger by Name" hotkey, and then type "sleep" (actually just "sle" works), and RETURN. You could do the same with "wake", or whatever keyword works for you.
My KM approach is to NOT use a hotkey unless it is something I need to do several times a day. I use Trigger by Name for everything else.
BTW, KM offers a native Trigger by Name Action, which you can put into a Macro. OR, you can use the great macro by @DanThomas that works in a similar manner, but searches ONLY on characters in the macro name:
MACRO: Execute Macro by Name (Spotlight)
Questions?