do the animals sleep in cages when there sleeping

It's the animal's choice.

Both , some have to sleep in cages for their protection, some can stay outside depending on the weather

Yes

no their free roaming

So animals do sleep in their cages, while others do not

Yes of course

Funny you mention that! My personal criticism of Lincoln Park Zoo is that animals are very obviously caged, as opposed to Brookfield Zoo, where enclosures mimick the animals' natural habitats. I find the primate exhibit at Lincoln Park especially disappointing for that reason.