You are correct to say "I love when you sleep.." That is informal speech. In formal writing one would not use that idiom, but, as Brian points-out: "I love it when you.." Also consider: "I love to sleep in your arms." "Do you love to eat pizza?" "Yes, I love eating pizza with lots of cheese because I love the taste of lovely cheese." "I feel loved when you sleep in my arms." is another variation.

There are indeed many native English speakers who will say that. I personally prefer to add "it"… "I love it when you sleep in my arms."