Yes, it would add functionality; and having thralls inside a wooden box makes little to none sense.
This would be a great consistency patch. I assume that cages have a certain size so only small pets or people fit in. So, if you have collisions inside (which the mesh has), you could check how big an actor could be to fit in. I think the cages should be big enough for hyenas, dogs and humans at the moment already.
Ethically, if slavery is already a topic in the world of Conan, having cages being filled with living beings should be ok. The game is bloody and mature, right? you could add the option of giving water and food simply by copying the diet blueprints from the animal den or thrall wheel, and have the same script running that kills the living being inside if not feed after a certain amount of time. A small change but adding a lot of depth in my humble opinion.
Sure, you still have to place thralls in your inventory to place them now. But this should in the long run be resolved by having them follow you without fighting ability once their will is broken, and allow only this one follower at a time of course. So you have to show them their spot.
This might be connected to the topic of “obsolete thralls” topic being discussed right now as well. Being able to interact with thralls in general, including crafting thralls, but disabling/reducing their battle abilities to make sure there are no changes to game balance.