There is nothing wrong with your NUC, once the NUC is disconnected from power, it will drain the power of the NUC therefore, waking from USB will not work until the unit is reconnected via power button.
I have tested this feature using your NUC model and nuc5i5ryh, on both I got same behavior.
Hm, OK. Thanks for your reply.
This means, if I have a power blackout (or just a switchable power socket), I have to manually start the NUC before I can use its WOL-functions? This behaviour is a bit weird, isn't it?
I do not find this weird at all. Once you disconnect power (AC) there is no saved configuration as far of wake on USB.