Wrist sensor in Auto Mode is always on

Sounds like this is exactly as it should be. The watch will track 24/7 HR. Activity tracking is steps/stairs - not HR. Take the watch off and leave it alone for a few moments and you will notice the green lights go off. Pick it up again, and it will detect the movement and try to capture HR again.

Indeed, if I leave the watch alone and off my wrist, sensor will stop.
I would have expected the sensor to be off when activity tracking and no widget / watch face is using it.
What does it do with the HR data in this case ?

The design of the Forerunner 935 is to have the OHR sensor on all the time, while still maintaining the expected battery life.

If you turn off Activity Tracking and remove the HR widget, your heart rate data is still recorded on the device an uploaded to Garmin Connect. This would allow you to see your all day heart rate in the Timeline, have your All Day Stress recorded, and your Resting Heart Rate calculated.

If you do not wish to track heart rate from the optical sensor all day then you would need to turn the Wrist Heart Rate setting from Auto to Off.

If you turn off Activity Tracking and remove the HR widget, your heart rate data is still recorded on the device an uploaded to Garmin Connect. This would allow you to see your all day heart rate in the Timeline, have your All Day Stress recorded, and your Resting Heart Rate calculated.

This is absolutely not truth! Resting rate is not calculated, and "Stress" is not displayed. if widget and activity tracking are turn off - there is no use - just green blinking and discharges battery

I think OHR should work like gps or accelerometer - these things turn on by activity or widget auto, and turn off auto.

I'm not sure that I fully understand what you mean. If you turn off the Heart Rate widget you can still have the Stress feature on the watch. If you turn off the Stress feature then you will not get this data.

If you do not want to use the OHR feature, it is recommended that you turn off the Wrist Heart Rate.

The design of the sensor in the Forerunner 935 is for the OHR sensor to be on all of the time to better track heart rate throughout the day.

hmmm... that thread is in regards to a HRM-Tri strap being connected to when not in an activity. It seems like what the OP is looking for is a way to turn off the WHR usage while not in an activity. I suppose this could be achieved by changing the setting to something like OFF/ AUTO / Activity Only. I'm not sure why the OP wants to remove features or functions from his expensive watch but to each their own.

The bottom line right now is that the watch is designed to have WHR on when the watch is worn. The only way to make this not the case currently is to turn WHR off and then manually turn it to Auto when you do an activity.

Think of activity tracking as the device tracking steps and flights of stairs. That is what you turn off when you disable activity tracking. As noted unless you turn off the oHR, it is always on and tracking your heart rate 24/7. The exception being if you connect a chest strap for use during an activity. In that case, the watch will use the strap to record HR during the activity.

As I can see, there is subject like "auto turn on OHR only for activity if ANT+/BT sensor isn't connected" in this forum starts several times, some people ask garmin to add this VERY SIMPLE option. These people don't like 24/7 HR, don't need this data, but need HR data in easy activities like hiking sometimes. And I don't ready jump to settings and every day turn on and turn off OHR.
I do not know of anyone who collected 24/7 HR data for serious analyzing not for just for fun, I never read about this from professionals - "Stress" from OHR does not correlate with data from HRV Stress app.
why is it so difficult to add this option?

It’s not difficult, but when Joey tells you the 935 is designed to have the OHR on all the time, why should they allow people to turn it off? The data doesn’t hurt you and you can just ignore it. Personally I think the less options the better as it makes the watch less complicated and bewildering for people new to Garmin.

I totally prefer the way one could configure the original Fenix. With XML files. Simple configuration on the watch, more complex custom configurations with text editing. On every platform. Everyone happy!