Here is my observation of the whole situation:
1. If none of the two options are set (sleep, warn)
Upon wake from sleep (manual or MBP lid), the warning message (unexpected disconnection) shows up. Click OK (not ticking the check-box), then tunnelblick menu item is unresponsive (beachball). Openvpn instance is still running. If you kill it, then tunnelblick becomes responsive again.
If you kill tunnelblick instead, then upon restarting it, another warning comes up: could not connect to openvpn instance within... (something like that)
Obviously tunnelblick can not control (or so it thinks) the openvpn instance (which is still running) after waking up.
2. If option sleep: yes
Everything OK (openvpn reconnects, tunnelblick is responsive) -- the warning message (unexpected disconnection) still comes up.
3. If option warn: yes
Everything OK (openvpn reconnects, tunnelblick is responsive) -- no warning.
4. If both options (sleep, warn): yes
Everything OK (openvpn reconnects, tunnelblick is responsive) -- no warning.
The time to sleep seems mostly unaffected (15-30 seconds in my case). It did seem slightly faster when option warn: yes, as opposed to sleep: yes or both: yes, however I am inconclusive.
The above has been observed on both 10.5.8 (intel) and 10.6.5.