Not necessarily. Remember Cypher from the first movie? He didn't want to live in the real world. His reaction is like the initial departure from the cave. Do not want and all that.
As opposed to Neo who toughed it out and realized that living in the Matrix is a Bad Thing. Neo and everyone else going back into the Matrix is the return to the cave.
Of course, this example ignores the perceptions of the people still in the cave/Matrix because the parallel's kind of fall down there but you get the point. Right?