We do not support any type of "connected sleep" on XBee Cellular 3G (I actually don't think that 3G networks support any power-saving modes like this to begin with).
When the XBee Cellular module goes to sleep (such as by using the SLEEP_RQ pin with ATSM=1), we completely power off the cellular modem, and on the subsequent wakeup we power the modem back on, but this will be effectively the same as power-cycling the XBee entirely, or using airplane mode.
Also, based on your note that you are getting a 00 modem status frame, it sounds like you are completely shutting the XBee off, not using pin/cyclic sleep. The 00 modem status frame indicates a complete restart of the XBee processor. In this case, each time you power the XBee on, the modem will also be completely power-cycled, hence the ~30 seconds needed to associate.
If you want power-saving mode with quick re-association time, you will need to wait until we release XBee Cellular LTE-M with support for PSM mode.