Are you using a timer for the AOD? You can go into fingerprints and see how you have it set up. I think the always show sensor location only works with AOD--otherwise the options are for it to blink when motion is detected or never show.
Same issue here. If I'm using the phone and then turn off the screen and it goes to AOD it won't blink but if if for whatever reason the screen comes on again and then back to the AOD without me unlocking the phone it'll start blinking.
