I'm in the process of turning my mountain bike back into a mountain bike, and thinking to switch to BMX pedals. It's had cages since I bought it in 1998, which have worked fine, but now that I'm used to Speedplay Frogs on my road bike, I actually forgot I was using the cages and nearly got stuck in them when coming to a stop -- almost tipped over when I was out & about in the neighborhood!

I love my Frogs, but I don't think they're the right pedal for every situation. My commuting bike just has regular flat pedals.

Do what makes you feel comfortable.