Mine love to bury themselves too. I noticed tho if you give them lots of hiding spots you will have a better survival ratio and in return more mealies.
I'm pretty sure the ones that bury themselves are the laying females because they lay their eggs in the substrate. I see mine busy under the oats all the time. I think they also go down there if the light is too bright. They prefer dark areas. I have a toilet paper tube in there for mine and they have made it their designated rec center. XD