Two real issues with massive RF energy density:
1. Penetration depth. Even if you have a continuous metallic bubble with no holes, some RF radiation still leaks inside, depending on material nature, thickness, frequency, etc. The amount is small, but it's not zero.
2. If energy density in the RF beam is huge enough, the shield / cage starts heating up. You could conceivably melt it if you take this game far enough, or poke holes in it.