XPS 13 9365, proper way to use the power button?

Assuming you have Windows 10 installed click on Start then Power and then Shut Down. You should not be using the power button to turn the unit off as that can cause file corruption eventually. Now if you absolutely have to shutdown the system, as if say the system froze, then hold down the power button for 4 seconds.

The XPS 13 9365 is a Modern Standby system.  The power button does behave a little differently.  

When you start the system up and it will be either in low power mode or hibernation, it does not technically, sleep.  When starting, you hold the power button for a second or two until the keyboard lights come on.  It should then come back to the Desktop.

The system doesn't normally completely turn off but you should be able to shut it down by using the options on the start button.

At one point in time, about 3 years ago, the XPS 13 9365 had a problem where it would not shut down but start back up after you had selected shutdown.  It also would not go into hibernation so turning off fast startup was a workaround.  If you want to check that thread, look here.

If you want to understand modern standby, this is an old video but it may help explain.