In Moonlight canon Mick's world, vampires are light sleepers for one very simple reason: if you aren't, you'll wake up with a stake in your chest and what's very probably your very own sending away party. Involving meat cleavers (in some cases) and bonfires (slightly more likely).

So, Mick sleeps lightly in his freezer chest on the lakeside end of his two stories high building.

Those with observant inclinations (and functional eyes), will note that one of the windows up there are boarded shut. From the outside, yes of course.