Success at last, well kind of. New questions are raised as the problem is solved.
Alain's code dimnstrates the purpose of the sleep state, low power, all ports off. This is not required but is good practice.

I followed richards ASM modifications of my poor attempt (years since I wrote ASM. I was trying to brush up)

WDT was always off in Configs so it was never WDT event. Will later read Config addresses to confirm I got what I wanted in memory.

As I enter the ASM code blockk, no LED can be executed after the test for RCIDL and before SLEEP.
Place BSF Portx.x before RCIDL test and SLEEP works.
Place BSF Portx.x after RCIDL test and SLEEP dies not works.
Place BSF Portx.x after BSF BAUDCON, WUE and SLEEP dies not works.
Place BSF Portx.x after BSF INTCON.7 t and SLEEP dies not works.

Before entering the ASM block i can turn on as many LED's as I like and Sleep works as it should.

OK so this is a strange behavure that does not fit any RESET format I can find in the data sheet.

Regarding the data sheet section memtioned by Ioannis.
Wake up will occure regardless of state of GIE bit.
PC SLEEP +1 is prefeched durring SLEEP.

SLEEP with GIE set: NOP may be needed in this case!
Test RCIDL
Set WUE
SLEEP
Wake and exicute next instruction
Call ISR
return to Sleep +2
continue program

SLEEP with GIE clear: no NOP needed but it can't hurt!
Test RCIDL
Set WUE
SLEEP
Wake and exicute next instruction
No ISR called
continue program

In my case I will WAKE on EUSART single byte %00000000. I need the ISR to read RCREG and clear RCIF, then discard Break character. Single NOP will be needed.

So now the adventure of the WAKEUP routine. Thank you for alll your help.
Wayne