We play that in this situation the sentry moves adjacent to the hero but does not attack. It is still a pretty useless move on the part of the sentry but at least it then poses a threat next turn.
To my knowledge a Sentry would never move and attack. They only attack when they're already adjacent to a Hero.
Moving the Sentry adjacent to the Hero is often beneficial for the Hero. Many Heroes and items have bonuses that only apply to an adjacent Monster.