Agreed. And I'm not the first to observe that the framing story inverts the moral of "The Cage" by saying that, now, Pike should want to be a captive living in an illusion.
It does have a lot of holes. Another one is that the Talosians may not be as evil as they first appear, but they are not exactly benevolent. They torture Pike with the illusion that he's burning in hell and "punish" him another time as well. Talos isn't exactly a place I'd leave a completely disabled man.
But in spite of the weaknesses of the framing story I think it's a compelling, dramatic episode. Pike in that chair is horrifying, particularly when the flashbacks start and you see him as he was before the accident.