Windows 10 keeps turning off display and locking out after 5 minutes of no interaction, how to disable?

I keep having this annoying behavior on my Dell SteamMachine converted to Windows.

I'm up to date according to Windows Update.

Things I've done:

1. Turned it onto High Performance Mode for Power Options (default) - didn't work 2. Gone into Power & Sleep settings and turned Screen and Sleep to Never - didn't work 3. Gone into Power Options and under High Performance changed the Display to Never and Adaptive Brightness off and also set my Wireless Adapter Power Saving to Maximum Performance and sleep and Hibernate to Never.

Dunno what else to change. It's affecting my VPN since once it locks and goes to sleep, it turns the VPN off and I have to enter my PIN to get into windows and reconnect my VPN.

​

Thanks in advance for the help.