I just had a look at this and its an odd one, I created a subd and displayed the cage, then in the hypergraph, 'graphed them' then disconnected the history node from the sub and the cage moved the cage in component mode then reconnected them again in the connection editor. Out mesh to in mesh, and out sub to create but after I did this one jumped to the other.
But theres a procedural method you could use. create a subdsphere again, scale the new version up and move it to one side. Apply a transparent material to the bigger sphere. Open the connection editor up. then select the larger sphere then hit the down arrow key to select its shape node. then hit reload left in the Connection Editor. then do the same for the smaller sphere but reload right. then from left to right in the conection editor select World Subd and then select Create. This should join them up. Also use wire frame on shaded to see the transparent sphere. You can then apply poly proxy to the trans object and edit it and it will affect the small subd sphere
Sounds like complete ball ache but it works!