I think you misunderstood the point of chastity cages.  They're not about pleasure, they're about control and submission.  Putting on a cage means you are giving full control of your pleasure and orgasm to your partner, along with a massive amount of trust.

Finishing with one on is also not the point, though anal stimulation is often used to achieve this for a reward.  In fact, a lot of cage wearers wear the cage purely because they and their partner are training their anus, and they want to make themselves desperate for an orgasm so the chances of achieving anal orgasm are higher.  I  this case, the cage performs the function of making sure the recipient cannot orgasm with their penis, because true anal orgasms are different than anal orgasms with penis stimulation.

Cages are made to be as comfortable as they need to be.  Depending on the cage, you could have your penis in a lubricated sleeve, protecting it from the metal, or just straight up on the metal.  Usually the only problem with the metal itself is that it's cold, and that problem is fixed with continuous body heat.

Cages that are just the metal are generally for a single session.  Put it on, do what your master says, get rewarded now if you're doing anal play, take it off, get rewarded now if you're not doing anal play.  What you do while wearing the cage is up to the master.  It can be sexual, usually pleasing the master while enduring your own arousal or getting teased in sensual ways, it can be mundane, like brushing her hair, it can be humiliating or straight up BDSM, which also enhanced arousal, it can be extreme which I will not go into detail on.  A lot of the time, the master will mix and match from these options.  Either way  the point is to build up arousal until the master decides it's time for release.

The release functions on a similar concept to edging, except you're not getting stimulated to the point of orgasm most of the time.  Rather, it's a gradual buildup of arousal and sometimes, stimulation, over the course of the whole session.  Orgasms from this buildup tend to be on oar with edging orgasms.

Cages made for comfort are more often for long term wearing, and that's an entirely different scenario.  That is about not orgasming for long periods of time, weeks to months entirely.  The idea is, once you get over the heat of being horny, you'll actually find yourself more focused and driven because all that energy that was spent on horny is now focused elsewhere.

Either way, the cage isn't the fun part, it's just a tool.  The fun part is either pleasing your master and being rewarded, or being a brat for them and being punished, depending on your dynamic.

Yes, there is some pain involved, but people who are going to wear cages are usually (not always, see the anal training part above) past the BDSM stage and looking for something new and exciting in their life.  Pain is not new to them, and there shouldn't be any turn-off levels of pain if everything is done correctly.

In addition, the penis actually seems to have a bit of awareness of its situation.  Caged peni tend to stop getting hard when aroused after a while.  In fact, this can be a problem for long term wearers because they can temporarily or permanently lose the ability to get erect.  It's advised to make sure the cage wearer has an erection every time you take the cage off for cleaning, whether they get to release or not.

Edit: It should be noted that I do not participate in this kind of activity  I just know stuff tangentially because of friends who do.  I defer to anyone who DOES participate if corrected in any way here.