It's a limitation of shadow mapping, particularly with certain types of geometry. The render engine fails to place shadows where it should, such as the nostrils or the mouth interior.

PheonixRising has experimented with morphing the nostril geometry to "trap the light" (see this thread), Traveler has some no-glow nostril props at Morph World 3.0 for the Millennium figures.

Why is it such a problem? Unless you can breathe fire, it doesn't look natural.