Domains of Dread and Delight are demiplanes.
Do you have any proof of this ? I don't think it's been phrased that way. Before 5e, there was a demiplane of dread that contained all the domains, but each domain of dread was not a demiplane. And in 5e, I s am pretty certain that none of the domain has ever been referred to as a demiplane. For example, domains of delight specifically avoids the word: "Domains of Delight are to the Feywild what Domains of Dread are to the Shadowfell: sequestered realms governed by powerful beings."
And I've looked through VRGtR, and it's the same, "In hidden corners of the Shadowfell are nightmare domains that hunger for the brave and the innocent, the ambitious and the wicked. Some call this collection of eerie realms the Land of the Mists, but monster hunters know it as Ravenloft. Terror, magic, mystery, and suspense fill these fractured domains, an infinite gallery of unfolding evils, age-old plots, cursed bloodlines, legendary monsters, and immortal villains. Evildoers from countless worlds regard Ravenloft as their prison—infamous figures such as the lich-king Azalin Rex, the unscrupulous scientist Viktra Mordenheim, and the diabolical first vampire Strahd von Zarovich. These Darklords wield incredible power within their isolated domains, yet they’re held captive in eternal torment as victims of malign forces known as the Dark Powers."
They are just secluded domains, not extra-dimensional to the Feywild or the Shadowfell as demiplanes actually are.