Caged Sun has a static ability that gives creatures you control of the chosen color +1/+1. This is a static ability that applies as soon as the Caged Sun enters play. The choice of a color occurs as Caged Sun enters play. This is not something that uses the stack or that can specifically be responded to.

If you want to play spells or abilities before this +1/+1 effect is applied, then you will have to do so before either the Caged Sun spell resolves or whatever other effect would put Caged Sun into play resolves. (For example something like Open the Vaults can put Caged Sun into play.)