What is the scan interval and scan window being set in the design? If both are the same there will be continuous scanning that might prevent the device from entering to sleep.
You can refer to the below application note which explains using BLE and low power modes
Afaik, you can only advertise or scan, but not both simultaneously. Otherwise, as rjks stated, you will need to check the scanning interval/window to see if there is a period of time where the radio is inactive, otherwise it will be on the whole time and prevent low-power savings.
The CPU can be off while the actual hardware radio is advertising/scanning, so being able to enter Sleep mode is expected.
If you make the scanning window smaller than the interval, and then attempt to enter deep sleep mode on the event_close occurence, then you should be able to see the power savings
Best of luck,