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Laptop Latitude e6400 Stays ON after ejected from Docking Station

T0DD asked
Even though the laptop is on and running, once you hit "eject" on the docking station, it's supposed to go to sleep.  What's happening though, unbeknown to the user is that it's still running and when they take it out of their bag, it's extremely hot with the fans blaring at full blast.    

I have Prosupport on it but Dell declined to help me and transferred me to software support, telling me that I'd have to pay the $129 incident charge.  Would love to know if someone knows what would be causing this.  
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there may be some application running on the laptop which is bringing it out of sleep mode.,,,possibly network or wireless application. check on these
I've resolved a lot of docking station issues on Dell's by making sure that the BIOS was updated as well as updating the chipset software. I was going to suggest creating a docking profile. However, according to this post that may not be necessary.
If your e series has the option to create a docked/undocked profile I would definitely give that a shot.

Adding on to David-Howard-
1.)Bios update- will fix the hot fan.  Support.dell.com, enter service tag and download.
2.)Docking station may have a firmware upgrade avaiable, Support.dell.com, enter service tag and download
3.)Upgrade your Dell Quickset, This controls more than just the power schemes on your laptop.

I also noticed that in your post that you said the laptop was going to sleep and was still running when in the laptop bag.  This is exactly what sleep does.  Did you mean to say hibernate?  I would review the power options too.  What OS by the way?