okay, here's my input.
i am not an expert on any fish, including Peacock gudgeons
I've been able somehow create an environment where they feel safe to breed so I have about 30 fry. I tried to set the tank up so they would have plenty of shelters at "their" eye level. Which is where I do a lot of fish-watching when it comes to these fish! I've even seen a male and female in a cave together, and of course you won't know if a male is fanning eggs if you don't get down low.
They are actually not as shy as it would seem. sometimes I'll go over to the tank and they will peek around at me from their chill spot and, depending on if they are hungry, or maybe not if its a female with eggs, but often they will come over and engage with me.
Imagine you were them and how they would move and interact with one another and their environment. At their level.
I don't notice mine hanging out each in their own cave all alone. The caves are for the spawning and then for the male to tend the eggs until they can emerge. The main thing I've noticed in my tank is that they like to be partially hidden. Tucked in a plant, behind or between rocks, chillin' next to a bit of wood, maybe behind a cave. Or maybe in a cave...
Perhaps you are overthinking the whole "cave" thing.
Imagine in nature....it's not just cave cave cave cave cave
Have plants at all levels, but especially bottom to mid. Have a variety of hardscape, not just the rock-caves. Some nice chunk of wood, smooth round rocks. Try to think in terms of nooks and crannies, or different levels.
Don't forget free space! Swimming room with nothing there!
By the way, what kind of rocks are those in your tank? Are they sharp?
These fish are skittish and move in quick bursts. Imagine you got startled and at your eye level are these rocks,
you want to bolt but you really can't because they are everywhere, you're trapped!!
(You will have to widen your decor choices).
These are just my thoughts and how I went about setting up my tank.
let me know what you think.
you have great taste in fish, btw