The user manual does not contain the complete information. Pressing and holding the "Mode/Menu" button gets you the main menu.
To access the set sleep time function on this model there is an additional step:
While you are playing radio, press and hold the Mode/Menu button for a count of 3, until the "<Preset Recall>" shows on the bottom of the screen.
To access the "Set Sleep Time" menu, you will need to then press the "Snooze" button.
You can then proceed to follow the instructions as per the user manual.