There are 7 or so powers in the MM (out of 16 or so powers that have a first failed save condition), that it's not true for. In these 7 cases, failed saves result typically in unconsciousness or petrification with no save (sometimes even death). But for such powers, the benefit of a save with a bonus from a paladin or warlord, still outweighs the benefit of a single activation.
However I'll concede the point that for those 7 powers, failing a save before you get an activation, will indeed be an unfortunate use of a bonus save.
If you gain a significant chance to succeed (such as a +5 to your roll from a warlord or paladin) or there is no penalty for failing, then sure, taking a save is great. But ignoring those situations and focusing on situations only where it's just another save (sacred flame, hobgoblin, heal check, etc) and there is a repurcussion for failure...
Essentially I think you and I disagree on how much it matters to lose your actions and ability to take a normal turn _now_ instead of later. Like your Sleep example - the hobgoblins who fall unconscious immediately, then get coup de graced, or then can't move out of the way for the next area effect or getting swamped by defenders... are in worst state than the ones who can take a normal turn, maybe take out an attacker, maybe get to safety, then fall unconscious.
Special:
Gorgon: So, it dazes and slows and if you fail _once only_, it instead immobilizes, and for many characters that's an improvement! That second failed save to petrify (no save) is bad news, though.
Bad!:
Basilisk: Immobilize before chance to move can be bad, and petrify (no save) is all bad.
Beholder: Lose ability to move, deal damage, act at all, or die. Badness abounds.
Ancient Green Dragon: Lose actions then lose ability to attack...
Drow: Lose damage output, then fall unconscious (no save for encounter). Not good...
Gibbering Orb: Immobilize, then die. Especially cruel if you've been hit by the -5 to saves ray first. Though potentially at epic Dying can _sometimes_ be good, I'm going to assume it's still considered bad

Night Hag: Unconsciousness (no save). All bad!
Medusa: Immobilize before chance to move, and petrify (no save)...
Dark Naga: Stuns on failed save is bad.
Oni Night Haunter: Unconscious (no save). All bad!
Often Bad:
Astral Stalker: May immobilize or stun you before you're able to take a move to safety or to allow you to attack. Often bad.
Carrion Crawler: May immobilize or stun you before you're able to take a move to safety or to allow you to attack. Often bad.
Not bad:
Void Slaad: Losing a surge every time you fail, so no harm done there.
In most cases, accelerating down the path of failure is just a bad thing - for you in limiting your actions, or for your allies in removing a round of damage or healing or whatever that you could do, and hp/attacks you could soak.