Thats a new on on me.  have you made any changes in the bios?  If so, try clearing the CMOS and see if that solves it.  It also sounds like the m.2 951 isn't re-establishing from sleep.  Could be windows, could be the drive.

Make sure you have the latest BIOS update which is v1.18.

Correct; the part number is E095 and so far there is only version 1.0 available.
 
I finally was able to do a little more testing. I created a Win 10 install (not an installer, but an actual windows-to-go install) on a USB 3.0 stick. Damn thing was slow as molasses, but it does run, and all I'm using it for is testing shutdown/sleep behavior.
 
In legacy boot mode, everything runs fine. Shutdown and restart work fine and the sleep recovery works fine. However, in UEFI boot mode the system will not boot from USB at all and enters the BIOS boot loop again, this time with no escape. Not even a power supply reset will allow the system to clear UEFI. The UEFI configuration recognizes the USB boot stick, which is selected as the first boot source. The M.2 slot is disabled. All other settings are factory.
 
So, that's not as useful as I'd hoped, but it is some further grist for the mill. I guess my next step here is to test UEFI boot mode with a SATA disk, which a small hassle that I won't be able to get to until next week. Until then, have a great weekend everyone!  =)

Due to the amount of repeat issues described here I am referring this thread to EVGA

I'm having this exact same problem. If I shut down the computer, when I turn it on again I get the UEFI and the SM951 can't be detected. If I power cycle the power supply, then it's fine. Seems like a motherboard issue that needs a BIOS fix.

We have identified the bug and plan to fix in upcoming BIOS.

EVGA_JacobF
We have identified the bug and plan to fix in upcoming BIOS.

Woot! Great news!  Thanks for the response Jake.

Nebor
followed by the release of the X99 Micro 3.

Hello, I am new to forum, I'll try to give all information.
 
System Spec (below).
 
Recently built my new system and have everything installed okay with Windows 10. But some problem I have been having issue with system waking up after putting to sleep, but also booting. Every other boot it goes into the motherboard BIOS/UEFI area as if there isn't a hard disk to boot from.  Until I press the power button and turn it off, then on again, it see's the drive and boots into it. I have not touched the system board settings much at all apart from enabling the NVMe(m.2) socket for the drive when I built it. The boot mode is in LEGACY, where it detects the m.2 drive. In UEFI mode, it doesn't see it so I left that setting alone. I do not have any SATA drives at all at this time and simply run everything off of the NVMe(m.2) drive.
 
I am also having trouble with waking up from sleep. If I put the machine to sleep via the start menu, then attempt to wake it up (such as via the wireless mouse), Windows basically crashes to a BSOD and reboots, upon which ends up in the UEFI area (like every other boot, until I force it off/on again).
 
I figured the board or windows doesn't keep the m.2 controller alive even in sleep so that when it wakes, it has no problem initialising it, but I cannot be sure. The fact that every other boot, the system boots just fine without changing any UEFI/BIOS settings is very strange to me.
 
I did notice that when I built the system and was attempting to install Windows from a USB installer for the first time, the installer could not see the drive. I thought that I needed drivers, so I downloaded the drivers and put them onto the same USB, but that didn't work. So I went back into UEFI and enabled the m.2 compatibility mode (which also limited the base clock and memory frequency) and tried again - the Windows Installer could see the drive, so I proceeded. I disabled the m.2 compatibility after Windows had been installed.
 
Have I done something wrong or am doing something wrong?
I seem to have read that a problem with m.2 was supposedly fixed, but perhaps I am reading into something different. I have also noticed that the UEFI could use some attention - I am no expert but changing settings in there gave me a headache. There are also spelling mistakes and what I believe to be incorrect definitions for 8-pin/6-pin pwm/dc type. In any case, I felt rather confused in there so I didn't mess with anything.
 
System Spec:
EVGA Micro2 Mainboard [131-HE-E095-KR] - Firmware version 1.02
Intel i7 5960X Haswell-E 2011-3 Extreme [BX80648I75960X]
64GB (4x16GB) Corsair Dominator DDR4 3000MHz [CMD64GX4M4B3000C15]
Samsung 950 PRO 512GB M.2 NVMe PCIe SSD SM950 Solid State Drive [MZ-V5P512BW]
EVGA NVIDIA GTX TITAN X SC GAMING Graphics Card (12GB) [12G-P4-2992-KR]
Corsair AX1200i 1200W Modular Power Supply [CP-9020008-UK]
Corsair H100i GTX All In One Hydro Cooler [CW-9060021-WW]
6x Corsair SP120 Fan [CO-9050020-WW]
NZXT USB Expansion [NZXT-IU01]
TP-LINK Compact T1U Archer AC450 USB WiFi Adapter
Asus USB-BT400 Bluetooth 4.0 Adapter
Windows 10 64-bit, updated.
Hardware on stock/auto, no overclock. Memory on automatic, not using XMP.