Thanks for the feature request! We always want to hear what would be most helpful to add to World Machine. I'm not sure that I understand what you're trying to do, so just to be clear - are you looking to mark a part of the terrain to then delete it and add a cave into that deleted section? World Machine will help you sculpt terrain within a heightfield map - creating a cave by deleting a part of the terrain would be outside of the scope of what the software is looking to help users accomplish. Please let me know if I've misunderstood your question, though!
Thanks, Your friendly neighborhood World Machine Forum Moderator :)