The cases are logically labels. Many people put labels at the same indentation level as the block they are in. In my opinion, that way it's easier to read through the text.
I compare it with a timeline you can scroll through. You have markers on the time line itself, not indented into the content. You can then quickly point out where labels/markers are, without moving your eye away from the base-line.
There are different indentation styles to choose from. AFAIK, none is considered better style than the others as long as you consistently use an indentation style at all. For me, indenting case labels is more readable, same goes for private, protected and public labels in classes, however, my IDE won't do the indentation my way. My code isn't as readable as I'd like it to be this way. Oh well...
Cases are not opening a block. In C or C++ you can even put variables declarations (but the initializers are not called, except for static variables, that's a pitfall) at the beginning of the switch block. You can do many weird things with switch, like Duff's device.
Hence, as cases are just labels, indenting them does not seem that intuitive, and not indenting is the style chosen by most styles.