To configure your Mac to wake from sleep when a Screens session is begun, visit your Mac's System Preferences and click Energy Saver. Make sure Wake for Wi-Fi network access is enabled, or your Mac may not wake when Screens tries to connect to it.
If Screens is unable connect to your Mac despite this setting being enabled, try enabling Prevent computer from sleeping automatically when the display is off.
If you connect to a remote MacBook, your computer will not wake up if it is not plugged into a power source. This is by design so that your computer doesn't run out of battery power.