Have caged molecules ever been observed in space? astrosnapper@'s thorough answer to the question What is precipitable water vapor in millimeter-wave radioastronomy and how is it measured? links to the paper Observing Conditions for Submillimeter Astronomy which discusses spectral windows of atmospheric transmission in the 100 ~ 1500 GHz range. These windows are "delineated" or limited by strong absorption lines of molecular water vapor in the atmosphere. 

Figure 2 is shown below. The caption reads


  Fig. 2. Energy levels of the lowest rotational states of water with transitions labeled by the frequency in GHz. The lines at 557, 752, 988, 1113, and 1229 GHz delineate the principal submillimeter windows.


and displays ortho- and para- water separately.

Curious to find out what those were, I went to Martin Chapin's (also here) site Water Structure and Science which discusses the physics of ortho- and para- water, and describes experiments on single water molecules trapped and isolated in C60 fullerene "cages" (Endohedral fullerenes): 


ortho-Water and para-Water


Question: Have caged molecules ever been observed in space?

These could be trapped in fullerenes (which I believe have been observed) or otherwise.
Fullerenes have been detected in space, including C60, C60+ and C70 and appear to be responsible for the diffuse interstellar bands (DIBs), which are absorption features caused by the interstellar medium. The question of endohedral fullerenes is an interesting one, it is discussed in the paper "Interstellar fullerene compounds and diffuse interstellar bands" by Omont (2016).

In section 3.1.2, the situation for metallofullerenes M@C60 is discussed:


  Analysis of the optical spectra of metallofullerenes thus
  presents the same difficulties as do C60 or C60-. It is therefore not surprising that even theoretical studies of their
  energy levels and excitation are lacking, incomplete or ambiguous, and we are still waiting for laboratory spectra.
  The accuracies of wavelength determinations are still far
  from being useful in constraining possible associations of
  visible DIB features with metallofullerenes. Estimates of
  line strengths are practically always lacking.


From this it would appear that more lab work is necessary before we are able to identify metallofullerenes from astronomical spectra.

In section 7, Omont describes the situation for hydrogen molecules in fullerenes (H2@C60), with section 7.2 discussing the prospects for finding interstellar H2@C60:


  It seems that the presence of endohedral H2 would not
  change the basic properties of interstellar fullerenes much,
  making it difficult to reveal its presence, except thanks to
  specific spectroscopic features. However, even if it were
  significant, the presence of endohedral H2 should be difficult
  to confirm because the abundance of H2@C60+, for instance,
  could hardly be expected to exceed or even reach 10−9.
  There is thus practically no chance to ever detect its near-IR H2 2 µm absorption. UV spectroscopy is more sensitive
  by orders of magnitude than absorption of weak IR lines.
  It can detect H2 column densities lower than ∼1014 cm−2
  (e.g. Gillmon et al. 2006). But even so, the UV detection
  of H2@C60 seems out of reach.


A quick check of the papers citing Omont (2016) doesn't turn up any detections of endohedral fullerenes, so it looks like the situation remains as described.