Sony SACD 5400 ES: how to get it in standby ?

Well, standby IS turned off, except for being able to respond to the remote control.
So you got what you paid for.
Some preamps, and amps standby keeps the circuits on, just at a reduced level. i think you are confusing that with the usual standby.I which the machine is off, but responds to the remote to wake up.

When I wish to turn my 5400 off completely, I press the power button, see the "Standby" message, but continue to hold the button down and it goes off. I've never really tried to leave it in Standby. But I would have thought that a quick push to get the "Standby" message and then lift off your finger would work. To be honest, I've never tried to leave it in Standby.

Are you keeping your finger on the power button?

I normally leave mine on though.

Regards,

Turn it off with the remote.

I never turn my 5400 off. With no cd loaded the laser is off and the motor is off. Only the electronics stay powered up which is better than turning it on and off. I had a 777es which was never turned off in 10 years

I never turn off my XA5400ES either. This is one player that I noticed takes a very long time to warm up, and sounds noticeably better after warmed up.