Chicago's Regional Transit Authority operates the Metra which spreads into northern Indiana and Southern Wisconsin
You're thinking of the South Shore Line [0], which is entirely independent of Metra [1] and the RTA.
> and Southern Wisconsin
Metra has just one stop on one line in Wisconsin (Kenosha on the Union Pacific North line).
If you are standing in downtown Chicago, you can jump onto a train and conveniently go to O'Hare International (Blue Line CTA), Midway International (Orange Line CTA), Milwaukee International (Amtrak), and South Bend Regional (South Shore). South Bend has daily non-stops to NYC so I'm not sure why it's called a regional airport, but, well, there you go.
Furthermore, I'm not sure what good a Union Station to McCormick Place link would do. Union Station is already within a 20 minute walk to every single CTA/Metra/SS line. Furthermore no one really lives/works near McCormick Place. It's primarily a convention center.
Although it really sucks when someone misses the correct train and you have to drive to Winthrop Harbor to pick them up.