Yes, you cannot make a cave in HMP format. This is one of the limitations of terrains, you cannot move the vertecies from side to side, only up and down. Convert your HMP terrain to MDL format (save as, MDL7). That way, you will be able to delet polys, to make the gap your talking about. It will also give you more flexability. However, MDL terrains can get messy quickly, so just make sure you keep track of what you are doing.
Raddaddy