If they have more sensitive vision than humans, they could probably get away with just building lightwells. They'd need some way to help ventilate tunnel networks, and careful construction of pipes (maybe using plant stems, or maybe built as clay-lined shafts or other constructed things) would assist in air flow as well as allowing a small amount of light down. Building mirrors might be very challenging if they have no access to metal, but maybe simple glazing or glasswork is possible, to help make the light shafts more reflective.
Even if only a tiny bit of light makes it down, that might be quite enough.
Ready access to glass and metal (perhaps scavenged from humans) would make this simpler and more effective. Obviously this doesn't work at night, but in those long, dark winters one could always just sleep a lot...
Alternatively, consider the possibility that they don't need lighting.
to handle of the cooler climates such as in Europe and protect themselves for their many predators many of them live underground
One doesn't need to live underground to survive the weather as a small mammal in Europe. Hibernation might be required, and that might be done underground, as the wide variety of colors and flavors of rodents and lagomorphs and small mustelids will show, you can wander about above ground in the mornings and evenings over quite a wide chunk of the year without freezing to death.
So that leaves predation.
To pick a few kinds of potential predator... owls have been about for tens of millions of years, feliforms have existed for about forty million years, mustelids for over ten million years. The things that might eat your fey are old lineages, not new surprises.
Therefore if predation was the major reason for hiding underground, your fey would necessarily be well adapted to living down there... they'd have excellent senses of smell and hearing, and sensitivity to vibrations that would let them hear nearby things walking or digging both underground or above. Being intelligent and presumably tool users, they'd also have the ability to equip themselves with things to help navigate in pitch darkness that they hadn't evolved naturally... artificial echolocation using vocalisations or clickers, for example. Strings laid out as guide lines, twigs or blades or grass used to feel about, etc.
They might like light, and appreciate the warmth of sunlight and so on, but they don't need it.
There's no shortage of underground fey-like things in folklore after all... gnomes, knockers, kobolds and so on. Plenty of things for you to build on.