When I first read about the unaired TOS pilot episode The Cage and how most of its footage was reused in The Menagerie, I assumed that The Menagerie had simply "replaced" The Cage in terms of canon, so we can safely ignore things like the Enterprise having "rockets" and focus on the more easily explained discrepancies. But after watching The Menagerie myself, I decided to search for a quick list of differences between that and The Cage, and stumbled across this assertion on Memory Alpha with regards to the apparent contradiction between the two episodes' endings:
in "The Cage", The Keeper not only restored Vina's beauty, but also created an illusion of Captain Pike for her and the two of them returned to the underground community. This was changed for "The Menagerie" so that The Keeper could show Captain Kirk the image of Pike restored to health (and back in his old-style Starfleet uniform) and going underground with Vina. However, the events of "The Cage" as originally depicted in the unaired pilot are still considered canonical and the footage transmissions as presented in "Menagerie" are assumed to have been edited by the Talosians. Therefore, when the real Pike finally joins Vina on Talos IV, it is possible that Vina does not notice the difference.
Naturally, no source is cited. There's even a different Memory Alpha page which appears to strongly imply that this is not true.
So, is there any definitive source which states whether TOS: The Cage is or is not canon? startrek.com has an entry for it, but I'm not sure if that answers the question one way or the other.