The Do Nothing option is not available in the Power Management Options or in the VAIO Control Center because that option was purposely left out due to the physical location of the exhaust port of the computer.
As the illustration in the Users Guide shows, the exhaust port is in a position where it would be completely covered whenever the LCD lid is closed. This means that if the computer were set to stay on while the lid is closed, the ventilation would be greatly limited. Such a condition could cause the computer to reach a high temperature, which would then become a safety concern. To avoid this potential safety issue, the Do Nothing option was removed.
Manuals are posted on your model support page.