From Apple phone support, I asked this for waking my Mac mini when using Back-to-my-Mac from another location..
Response I got was the router needs to support Bonjour. Since third party routers tend not to support it fully, apart from Apple products, i tend to just keep my Mini running 24/7 and never letting it sleep.
The option in system preferences only wakes the mac currently... its not used for remotely waking. and only when using Wi-fi not eithernet.
So ya, looks like a third party app is needed, or get an Airport Extreme/Express