I tried using them on the island but they had no effect.
The only thing that I could think of was that there was a cloud blocking it but that's it. The sun was on its way to setting but still had a few hours before it even started to get dark.

Does anyone know if they simply don't work there or perhaps this was just a glitch?

Solstheim is in a separate world space. Maybe they don't want Dawnguard to be a prerequisite for Dragonborn.

That's kinda lame. Really makes playing as a vamp in DB really lame.

I don't think enabling that option would really make Dawnguard prerequisite. It'd simply be a feature that you needed Dawnguard to access in Dragonborn, similar to crafting Nordic Carved Arrows or something.

OP: If you're on the PC, you might find a mod that lets that happen.

Also, I think it'd be cool if someone would make a mod that would have something happen if you shoot Auriel's Bow at Red Mountain.

You can use Bloodcursed Arrows on Solstheim. My Dunmer Vampire Assassin uses them all the time. Playing on Xbox 360.

Depending on the time of day, sometimes it is hard to see the sun because of the constant ashy overcast. Best time to shoot the arrow is noon when the Sun is directly over your head.

try aiming harder they work for me

PS when you are aiming at the sun the screen becomes a little bit red