I've never seen my Malawi cichlids use a cave to breed in. Anywhere will do just fine. I've seen two demasoni spawn on the side of the glass about 3/4 way up the tank...Lots of scrambling to pick up eggs, but they did it!
Although I agree with the two above statements - one important question. Is breeding your main focus? If so - an "all holey rock" tank won't be ideal! If breeding is merely the "cherry on top of the sundae" then yes - they will get creative and find other places to do it.
When in doubt, dim the lights, a little Barry white music, some candles and pour in a bottle of wine. LOL.