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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.

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    Considered canon? Certainly. Actually filled with "first episode madness"? Also certainly. Note that even Nimoy was perfectly happy to admit that earlier episodes were totally messed up as far as continuity is concerned. – Valorum Aug 29 '15 at 18:36
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    Actually, "The Cage" is the only piece of Star Trek that is canon. Everything else is an illusion created by the Talosians. ;-) – Praxis Aug 29 '15 at 22:04
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    I was going to answer with just 'Beep'. But I wasn't sure if anyone would get the joke. – Xavon_Wrentaile May 1 '16 at 6:21
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The official Star Trek web site, StarTrek.com, contains an official episode list for The Original Series. It treats the "The Cage" as its own episode of TOS, listing it independently of "The Menagerie" and giving a separate plot summary for the version of events from "The Cage":

In particular, there are no qualifying statements to indicate that the events of "The Menagerie" supersede or replace those of "The Cage". This would suggest that the events that occurred 13 years prior to "The Menagerie" as depicted in "The Cage" are part of the Prime Timeline canon.

Also, there really is no glaring contradiction between the two episodes, as the illusion of Pike created for Vina at the end of "The Cage" may have been seamlessly replaced by the real Pike (with the illusion of health) at the end of "The Menagerie", as posited in the Memory Alpha article cited by the OP.

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