chrplmr thanks!
What I've checked was these:
-Windows LAN adapters settings: All OK with all Magic Packets checked, and power saving unchecked.
-Windows Power Saving settings: Full Performance (LAN/PCI/Related goes to standby)
-BIOS settings: EuP Disabled, PCIE Wake Enabled
What I've found:
-Normal Windows Shutdown: When performing a normal windows shutdown from "Shutdown" button, LAN card turns completely off (stops blinking/reporting to router)
-PC Monitor App: When sending from my phone the shutdown command from this app. the PC turns off the same way than pressing the button BUT LAN card keeps alive (blinking and reporting to router), allowing me to wake up from my network or through internet.
So it seems the shutdown button has some different command that kills my card when I press it to turn of my PC.
UPDATE: Think I've found it... is because Windows "Fast Boot" -
http://support.microsoft.com/kb/2776718/en-us
ASUS Products: Maximus X Formula - RT-AC87U/AC88U