I watched this first time round and again tonight, I think Warwick was picked up by helicopter near the top of Fleetwith Pike as the helicopter flew in over Buttermere and Crammock Water. I believe they were dropped off on or near Castle Crag. The rest of it I'm unsure but they kept showing views over Derwent Water.
Using google though, the cave could be Millican Dalton's cave but never been there so not sure. If others can confirm there is a sheer vertical cliff near by (the one Bear and Warwick abseiled down), it could that.