You could have them face the dark lords, and plenty of adventures at least featured them. This was really a matter of preference. I tended to have it be more of a once in a while thing, than point of the campaign thing. But the approach to killing most of them requires a lot of information gathering (some are hard or really difficult to kill permanently, some nearly impossible). So it isn't ideal if your players want to just charge in and stab them in the face (unless the dark lord in question is Ivan Dilisnya or something).
That said Dark Lords often pulled the strings and were antagonists but not necessarily someone the party had to face. Feast of Goblyns features Harkon Lukas in the background for instance. One of the horror of Ravenloft is realizing you aren't in Kansas anymore and a mere worlfwere like Harkon, has connections to the land that protect him (this is something that Knight of the Black Rose illustrated well when Soth first confronted Strahd). That doesn't mean the dark lord is necessarily going to rend PCs limb from limb, he may simply prove his point, frighten them, and move on. You are meant to play them as living characters.
The other thing to consider is one of the big functions of dark lords is to provide blue prints for other foes. Even villains who aren't domain lords, but are a product of the dark powers corruption, are going down the same path domain lords went. They are like microcosms of dark lords. When you start to think of just about any foe who is a product of going down that path into evil, it really opens up the game. The real point of Ravenloft is to make monstrous villains who unique, so their strengths and weaknesses aren't fully predictable. Some might be laboring under a curse. Some might simply be vampires but different than standard creatures of their kind. This encourages adventures that are built more around investigating the threat and then discovering how to deal with them.
