What's the reason? For the darkness, I mean...

[Cursed Lemon]

I think it was more of a fair warning. This is where you encounter the first monster, right?
As you get the flashback talk at the beginning and once you reach the end to the first big chamber, you see a monster walking by the door in the next room.
So it's a warning to keep the lantern off so the monster doesn't see you in my opinion.

Aren't the monsters servants of Alexander, though?