I did not have this problem before upgrading to Win 10 from Win 7.
I have Saitek Rudder Pedals, a CH Fighterstick and CH Throttle connected to my computer, with any or all these devices connected the screen saver does not start and the computer never goes into sleep mode. When all the controllers are disconnected from the computer the screen save works and the computer goes into sleep mode.
As a work around for this problem I have connected the game controllers to the computer through a USB hub and disconnect the hub when I do not need the game controllers. While this solution is acceptable in the short term I feel a 'fix' is required that will allow my computer to operate normally with the game controllers connected.