OK, here is the explanation about the NOP:

When the SLEEP instruction is being executed, the next
instruction (PC + 1) is prefetched. For the device to
wake-up through an interrupt event, the corresponding
interrupt enable bit must be set (enabled). Wake-up
occurs regardless of the state of the GIE bit. If the GIE
bit is clear (disabled), the device continues execution at
the instruction after the SLEEP instruction. If the GIE bit
is set (enabled), the device executes the instruction
after the SLEEP instruction, then branches to the interrupt
address (0004h). In cases where the execution of
the instruction following SLEEP is not desirable, the
user should have a NOP after the SLEEP instruction.
The WDT is cleared when the device wakes up from
Sleep, regardless of the source of wake-up.

The key is that before SLEEP the next command is prefetched and might not be what one wants right after a wake, especially after wake from interrupt.

Ioannis