No idea how long "fully loaded" is, but this has happened when I was playing for hours and THEN tried to sleep. Surely the game had loaded fully after a few hours.
That said, I hit sleep, the screen turns grey, and then it shows the offline window to show how much time I had offline and sets me back as if I just imported my save, instead of sleeping.

H-how bad is "Star Game" difficulty?!?!? O_O