For that is the nature of what should happen with making a monster race, and why we have no games with monster races, for people playing them would not enjoy the lack of similar advancement that others like so much. However, if done properly, dungeons would appear in the world when a monster has a attained a sufficient level/skill mastery that allows it to hold sway over minions, thus building a kingdom. And so a kingdom should arise, one that is built on traps, chaos, powerful magic and despair. If however, this dungeon master should ultimately fall and lose its kingdom, it should remain a relic, there for others to take, or random monsters to inhabit.
Monster races should be able to spawn others of their kind every so often, increasing with level or skills, so that eventually, they can form their own population if possible. Their spawn should be partially AI-driven and also controlled by the monster character, similar to Warcraft or another RTS.
As an example, let me illustrate the idea of creating a spider-race. Typically, in any fantasy world, spiders range from the tiny to the extremely large within various races. They also can be fairly dumb, or intelligent to where they have their own language and culture. So to have a race in a game, you need to create something with its own culture, in order for humans to partially identify with the character they create. So we have a spider race that hatches from an egg in an environment full of other spider hatchlings. Immediately, it has to fend for its life amidst the hatchlings, as they tend to start out a bit violent.
After asserting its dominance, the player moves on to find a lair to inhabit and spin its web throughout. Now the process of growing begins, and the life of a spider starts out hard, beginning with simple animals and eventually growing in size and power to find more unpredictable prey. Perhaps the player will associate with a colony and train abilities or learn from other spiders. Or it might become a solitary creature until it raises its own army of spiders. Eventually though, the player will have achieved an epic spider that wants to create a dungeon to call home.
Thus the process begins in which the player will find a suitable place, perhaps a cave, or a dark grove of trees, to create its lair in. This opens up a new GUI that is akin to something like an RTS. The character resides at the center of the dungeon with minions, and the dungeon starts off as closed to the world, until the initial plotting has started. If you have ever played Dungeon Keeper, http://en.wikipedia.org/wiki/Dungeon_Keeper; the interface would be likened to this, where your dungeon has a control scheme to be grown and rooms created, or sections. Defenses, traps, monsters would all be set to be there, and then the player would click finish to start the dungeon.
At this point, the spider player needs to grow more minions, and expand the dungeon, as the likelihood of being attacked is inevitable. Defenses would have to be strengthened, and time and training would unlock more dungeon abilities. The player could switch between overlord of the Dungeon with the different GUI, or play as the spider and roam the dungeon, perhaps taking out would-be heroes with planned ambushes, or sending an army to attack at strategic points.
The final idea is that there is also the possibility of banding with other spiders or perhaps allying with other monsters to create alliances and hence dark kingdoms. Treasure could be accumulated as loot, (every horde loves a nice treasure room of trophies), and kingdoms could advance their realm (or shrink). Again, if they are ultimately defeated, the remains of their dungeon stay (which can at least be molded into something different by the next occupant) and would be automatically emptied and later occupied by NPC monsters if no other player claims it.
Another thing to note though, is that an MMO's world needs to be big enough to support the chosen max number of players within it, so that expansion with both good players and evil types never completely overshadow the world. Also, there should usually be racial cities that stay as is, to create some harmonious placement of places, and at least some familiarity.