I was planning to put the PVC cage in my bedroom, but have been reading up on this material and now wonder why I bought it and if I should even keep it in my home at all or see if the store will take it back. Anyone have an opinion on this?

Polyvinyl chloride (PVC) is a common synthetic material used extensively in plumbing, heating and cooling, particularly in new construction, remodeling and HVAC system replacement. PVC is also found in a host of other products, including vinyl siding and flooring, carpeting, wiring insulation, roofing materials, doors, windows and trim. If you have a high efficiency furnace, or plan to install one, chances are good that your heating and cooling contractor will use PVC piping on the furnace's fresh air intake and exhaust ports.The abundant use of PVC, especially in heating and cooling applications, has given rise to a new environmental concern, known as "outgassing."
Over time, PVC releases volatile organic compounds (VOC) into the air. According to the Environmental Protection Agency, this release, or outgassing, is suspected as a cause of health problems ranging from eye, nose and throat irritations to nausea, fatigue, dizziness and memory impairments, among others. The EPA states says long-term exposure to low levels of VOCs in water and air have been linked to permanent neurological, liver and kidney damage, and may play a role in reproductive disorders.
At room temperatures, PVCs are stable, but the chemicals used to manufacture it have a low boiling point. When heated (as would happen with a PVC furnace exhaust port or during a house fire), the release of VOCs into the air increases significantly.