Mugged? Highly unlikely, in my opinion. If it's preferable to walk further to get to a station with an elevator, the Jackson station is six blocks east, right through the middle of downtown, and it's a good walk for seeing a few sights (Sears Tower, Federal Reserve, Board of Trade).

That said, I'd recommend the Metra NCS. The ride is fast, Union Station has plenty of amenities while waiting plus elevators to the platforms, Metra has conductors who can help with bags, and the legs on ORD property (the shuttle bus and ATS) are short, high frequency, and easy enough to understand.