What can I do with animals in cages in Dwarf fortress?
Solution 1:
To train exotic animals you need a dungeon master. Once you have a Dungeon Master you can tame exotic animals. Once the animal is tame you can then train it as a beast of war.
In version .31 and upwards the dungeon master has been removed. He is no longer needed to train large animals in .34, in .31 he was. But there was a bug that prevented him from showing up.
Solution 2:
You can still use them for zoos and pets, right?