Actually no, the 2 "settings" are NOT about sending information to Nintendo or not, Nintendo still receives the information just fine and that's been proven many times already! For example, hiding what you are playing on the friend list DOES send the info on what you are playing to Nintendo, it just makes it so Nintendo won't show your friends what you are playing. That was proven close to two years ago but people still spread this misinformation. What matters, regardless of settings is to not pirate leaked games (even if you don't go online as long as the data of the game in your system is from before the release date you risk a ban when you do go online after release). Cheating online WON'T ban your 3DS, the MOST it will do depending on the game is either disconnect you suddenly after the game lagging extremely badly (eg: in Monster Hunter games) or ban you game-specifically (ONLY that game, not the system, for games like Pokemon for example).
Anyway, the check happens when trying to download, regardless of sleep mode or not, the sleep mode thing was just regarding how FreeShop did things from what I saw back then when this was being looked into. Trying to download with invalid tickets, be it sleep mode or not, you could get flagged, but again, it ONLY happens when downloading, so installing CIAs is and always will be 100% safe after official release.