Every rodent I've ever kept (mice, hamsters, rats, gerbils, chinchillas, etc) will bury babies, sometimes VERY deep down. The gerbils will bury them as deep as they can get.
All of them have always been just fine, only time I had trouble was when my rats didn't have enough bedding to bury them and squashed one with cardboard trying to cover them up. Its just in their instincts.