I ride a bike with a cage on. No more than twenty miles though. If I want to go further I will ask for the key. I wear biking bib style shorts which keeps the cage in place.
I’ve ridden the Peloton locked for the last couple years, no issues. Once in a while it can cause slight discomfort but nothing bad enough to need removal. Lube the base ring before your ride. My wife might not be okay with all the Emma Lovewell rides I do if I wasn’t caged!
The hardest part is when you are up and down in an interval ride. I have a pair of padded spandex bike shorts and that mainly helps.