Ventura macBook pro - always shuts down when I close the lid

I have a new macBook pro Ventura 13.2

One external monitor attached, this is the 'primary' monitor.

I would like to be able to shut the lid of the macBook and run with just the monitor, but the machine always goes to sleep instantly when I shut the lid.

I have the Lock Screen 'Turn display off' (both of them) set to never. This made no difference.