Prevent external monitors to be shut down when sleeping I (think I) remember that with previous OS X versions I could have the display turn off while connected to external monitors, but the latter wouldn't be turned off. So, when I would turn the display back on, all the windows would still be in their monitor.

Now, when the display goes off, all external monitors are shut down (?), so all windows are moved to the small mac screen and i have to drag them into position by hand.

Any hint on how to solve this?

I have an early 2015 retina mac book pro and El Capitan installed. My external monitors are Dells. The energy saving preferences already prevent the mac from sleeping when the display is off.
I don't have any experience with El Capitan, but I'm on a MBP (pre retina) right now with an external monitor and when the displays go to sleep and are woken, everything is as it should be. 

If I unplug the external monitor, all windows revert to the internal screen. Plugging the screen back in reverts the windows back to their second monitor positions once again. The change from dual monitors to single and back to dual again is obvious with the internal monitor physically blinking during the transition.

This occurs whether I unplug it at the monitor end, MBP end, or in between (ie I'm using a display port to DVI adapter).

If I turn the monitor off (via the soft power button on the front), nothing changes. 

Physically unplugging the external monitor's power cable, also changes nothing (I actually thought it might). 

My initial thought with your scenario is that maybe when your model monitor turns off it could physically cut the video connection (electrically) internally at the monitor. Although I would think that's unlikely.

If there's anything you'd like me to test/compare at my end, feel free to ask.