The main purpose of standing and sleeping is to escape smoothly in the event of danger. After all, the wild world is full of danger. If you are not at the top of the food chain, you must always be on guard. For penguins, standing and sleeping can undoubtedly escape when danger comes.
Of course, there are also penguins lying down and sleeping, but mainly small penguins. Since there is no parental care, there is not enough awareness of the danger.