You mean a shortcut to the actual Mystify.scr (or whatever) in System32? Because if so and running that doesn't even flicker onto the screen, as in starts and immediately stops, then I'd be at a loss. If running that seems to do something even if only for a split second then other powercfg commands may help track down what's causing it.I've added a shortcut to trigger saver manually. Wouldn't normally worry but have bought an Oled monitor.
Does the system remain asleep if you tell it to from the start menu?