Well I might be wrong about them living in underwater caverns, but they definitely don't live in the Black Shroud. They have to live somewhere that we can't get to yet, since we've never seen them. And they have ALWAYS been associated with La Noscea and nowhere else. They are aquatic creatures and they worship Leviathan. Isn't it common sense that they live underwater or at least in caves near water?

As for the Cieldales, definitely no Sahagin there lol. Some of the islands are uninhabited like Locke's Lie and Turtleback Island, but the main one isn't. There are a couple sidequests where you help a sailor get some supplies for trade with the people that live there.