How they are linked
The surface is the master shard; the Caves connect to it with the cluster's shared key. Each sinkhole on the surface is a portal to a staircase in the Caves. A player who goes down is moved to the Caves server, on its own port, and back up the same way.
Sinkholes start plugged
Every surface world has its sinkholes, plugged until a player mines one open with a pickaxe. That is normal, not a broken link.
Turning the Caves on later
A world made without the Caves already has its 10 sinkholes, measured. Switch the Caves on and restart: a Caves world is generated and the sinkholes lead to it. On Flux this is the Caves setting in Deployment Settings.
What the Caves cost
A second world is a second copy of the game in memory: about 1.0 GB on a fresh world, beside about 1.3 GB for the surface, measured. Every Flux plan is sized for both.
Settings and mods
The Caves have world options of their own (cave creatures, light flowers, ruins), separate from the surface's, and the same mods: on Flux, the Mods tab sets them for both worlds at once.
Frequently asked questions
Do I need a second server for Don't Starve Together Caves?
A second server process, yes, but not a second machine or plan: on Flux both worlds run side by side on every plan.
Can I add Caves to an existing world?
Yes. The sinkholes are already in the world; turn the Caves on and restart.