They are all set to "night" actually, but their lighting is such that they're not fully "dark". The day/night settings don't necessarily make them light or dark. We could make an area that is dark during the day and light at night, but that would be confusing and silly. The Day/Night setting is more for whether or not the lighting changes based on the time of day. All caves I know about are already set to "always night", so their lighting is a constant.
There are many reasons why most caves are as they are, not the least of which being playability.
By all rights, the Deep should be nearly pitch black in most places, but that would actually change the challenge of those areas and we'd probably have to adjust encounters to compensate.
For what it's worth, any time I build a cave, I build for atmosphere. Look at the Silkwood Spider Cave, for example. As it gets deeper, even on that first level, it gets progressively darker.
