You need to wait until the USART has finished sending all the bits before going to sleep.

The TRMT bit (TXSTA.1) reads 0 (TSR full) while the USART is still shifting out data.
Wait for it to go to 1 (TSR empty) before going back to sleep.

Code:
TRMT   VAR TXSTA.1

HSEROUT ["Hello World!"]
WHILE NOT TRMT : WEND
@ SLEEP