Not everyone can make an iglo. There are a lot of little tricks involved, that kind of trick you have to aquire through hands-on training: What snow makes good building blocks, the proper 3D shape of blocks, how to use snow to bind blocks together and so on.

Snow caves are much simpler, everyone can dig one. Provided, of course, you actually have a bank deep enough to dig into. I don't know squat about their particular location, but Lots of areas in the arctic don't get much precipitation, and what little snow that falls will blow away. Leaving a surprisingly thin snow cover most places. The wind will build pretty deep snow banks leeward of some obstacles, but finding one when you really need one can be hard.

Both igloos and snow caves will have a temperature around freezing point, and they will be draft free. That's actually really cosy and snug when it's -30 outside. A tent will only be warm when heated, which consumes a lot of fuel. And tents are pretty far from draft free...