They don't all do that, some look more like usual. I don't know how deep the caterpillars would go in the UK, because you have snow in winter. Ours are found in quite shallow, loose soil, it makes sense, because the caterpillar has to dig it's way into the ground. Here's one I found and watched as it dug.I never saw when it emerged but I did find the empty skin so I know it pupated successfully https://hive.blog/insects/@nikv/time-to-sleep
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