Ha, yea. The Chicago region has a lot going for it but there are a few things that are really painful. Cloud tax? Brilliant Idea! Despite that, taxes and the like are modestly-sized constants. They haven't stopped businesses from growing exponentially here and I don't think they're a reason (alone) to relocate. Though there will certainly be edge cases where they add enough friction to prevent positive feedback loops from kicking in.
For Catalytic, we'll live or die based on whether we can quickly find the right colleagues and customers. This region has a lot of both. And there are some very real advantages to starting here (big fish in a little pond, etc) vs SF.