Someone from the Sophos twitter team has helped out.
It is not a Sophos issue ,If your Mac enters its full sleep state, then your network connections will be disconnected. Your Mac can not be connected to a WiFi network and be asleep at the same time. You can avoid full sleep by setting your Computer Sleep to Never. Your MacBook will then sleep all the sub-systems possible when idle, but will remain awake enough to maintain a WiFi network connection. PowerNap is not the same as full sleep. This is a special state controlled by Apple and, for now, available only to Apple's chosen processes You may enable PowerNap to avoid disconnection ^ap.
