How do I get my companion to sleep in bed and then exit command mode without making the companion wake up? I can make her sleep but that command thing is still active. I would love to let my companion sleep during the night while I went off to do other tasks. She is currently NOT my wife but will be later on. So what do I do here? Or is this just one of the annoyances of TESV that I have to deal with?

blame bethesda for there. Follower command system not so spectacular after all.
unfortunately it is like that. You can try to make the follower wait at one spot, then talk again and point the bed and ask the person to sleep. If it doesnt help, mods.

That just svcks. So much for immersion.

Are you on the PC? because you could use mods for this.

Honestly for the most immersive experience, Skyrim on the PC without a doubt.

But are you trying to get your follower to go to sleep while you do something in the came cell? or are you say... wanting to go outside the house and then come back to find your companion still sleeping? that could be tricky.

I like to use puppeteer spell (I'm on the PC) that allow me to make my follower sit, lie down, eat etc until I tell them otherwise. if I set them to "Wait" first they will remain there as long as I am in the area. I have not tested this by say leaving the building with them inside eating at the table. I don't like loading out of an area without my follower.