The weather does change after sunset, although it's still possible to have very significant weather events at night. In fact, these tend to be far more dangerous due to the lack of visibility and people sleeping. It's hard to avoid a tornado when you're asleep when it hits and it's hard to visually see coming.
The primary reason things like wind and storms die down after sunset is convection caused by buoyancy. The ground absorbs quite a bit of energy from the sun, creating higher temperatures at the surface. This heats the air and this air begins to rise, taking moisture with it. As it rises, it gradually cools and the moisture condenses. These are clouds. Strong heating, such as in the summer months, cause strong convection. The hot air can rise quite rapidly and momentum will help carry it to high enough altitudes that the moisture not only condenses, but it freezes. These small ice crystals can fall, melting as they do, to form rain. Or they can clump together and fall, but their mass is too large to melt entirely and this is hail. Or they can rub around together in the clouds and create electric charges that later become lightning.
Once the sun sets, the heat source is taken away. Although the ground remains warm for quite some time, and convection can still take place but at a rapidly decreasing rate.