Watching it again, trying to get the meaning......I'm wondering if Maddie is supposed to be the more care-free, wild side of Sia and Shia is the more cautious, anxious/fearful side, and they're kind of quarreling with each other? And when the wild/free side gets out of control (when Maddie gets out the cage), the cautious side freaks out? (Shia screaming)
I know she's denying it but this clearly lines up with growing up with her father and issues with his multiple personality disorder.
That's whats cool about art though, its open for interpretation. That might not have been her intention while making it, but it does make sense to interpret it that way.