I tried doing a paladin because yay chastity cage and noticed one or two odd things.
1.) certain text boxes seem to ignore the fact that my character is wearing one as it mentioned him stiffening (which shouldn't be possible).
2.) the angel lady who blows your trumpet will do it regardless of whether you are wearing a cage or not. at first i thought maybe this would be like with the butt plug where, afterwards, it just says the plug was removed and you have to re equip it. But afterwards i checked and, sure enough, the chastity cage was still equipped.
Other than that though the first playthrough was super fun and i look forward to playing it more in the future.