This feature is working just fine for me. If powered off, the reapplication of power will cause the MY NUC to wake and boot into the O/S (whether it is Windows or Linux doesn't matter; we are talking about a pre-boot feature here).
I have the following settings enabled (checked/set) in the Secondary Power Settings window:
Power Sense Checked
After Power Failure Power On
PCIe ASPM Support Checked
Native ACPI OS PCIe Support Checked
Hope this helps,