I was just peeking at my manual, and it doesnt mention that they do, but grey dwarves and dark elves do. it makes sense that the gnomes would as well, but doesnt say.

Yep, they do.

-Raffin

Weird, because when I started a game with a deep gnome, he didnt have the daylight penalty icon, but he did have the non-detection icon, and the drows in the party did have the daylight penalty icon.

Nope, they don't.