Yep, it's due the cage projecting its rays where it shouldn't
If you just pull up the push slider on the cage, the sides will come out fine, except from at the edges, as it not only projects the sides, but also a part of the top. This could be easily fixed by tightening the cage around the highpoly model, especially at the top and bottom.
One will always have to expect a few tweaks to be done in PS though. It's quite easy to edit normalmaps when you go into the different channels.. ie. R G B channels
You'll have to make sure not to get too carried away though, as sometimes it might turn out in unexpected ways while editing it in the different channels
Cheers!