MyCloud 4TB won't go into Energy saving mode

Downgrading does open up previously patched security vulnerabilities. So you will need to decide if potentially solving or dealing with the sleep mode by rolling back the firmware is worth opening up previously patched security vulnerabilities. Also note that if you use Remote Access (Cloud Access) downgrading may break the ability to access your My Cloud remotely.

Do a search forum search for “sleep” (https://community.wd.com/search?q=sleep%20category%3A105), and look at the dates of the posts. Try to find the earliest posts to see what firmware version (if listed) people were using. This failure to sleep issue has been around for many years and many past firmware releases. If you do find a prior firmware version that may work one can try to roll back to is.