Are you
the dark?
Watch me in the deepest hole
Holes are typically dark, the deeper you go.
where you may find connection to my soul.
Refers to the video game series, Dark Souls.
With an eye, I am a dagger
Replacing the 'a' with an 'i' gives you dirk, a synonym for dagger.
You'll tell the children I do not matter
Fear of the dark is common among children, and they are told it is nothing to worry about.
I'll hide you when you need a hand,
It's easy to hide in the dark.
be sure to seek permission to land.
Permission to Land is an album by The Darkness.
Through time with Donnie you shall go,
Refers to the movie Donnie Darko, in which time reverses.
revenge as Westlake you must sow.
Refers to Peyton Westlake, the identity of Darkman.
The title of the riddle refers to
Mourning Palace from the album Enthrone Darkness Triumphant