Yes I have... When it exiting from Idle, it should exit from PSM + activate internet conection...
Yes I have another rules that have PSM too, but like I say it worked before and I don't remember that I changed something...
Also when I do a quick test when my phone in normal mode (no psm):
Long press on the Idle rule -> activate -> it's entering into PSM -> After a few sec lockscreen activated.
Now, when I open my phone = deactivate lockscreen -> it NOT exiting from PSM.. but it should... And what strange, that it's also not exiting if I have exiting command (/sbin/mcetool --set-forced-psm=disabled) in the custom action in the field "When rule deactivates"... Very strange..
I will try to play with another rules and follow this in the few next days...

PS. You can try my rules (zip added), maybe it will help more to understand it...