I think choosing your airline of choice based on getting denied for a CC is probably a shortsighted decision. It's entirely possible that DL is a reasonable choice for you, but please do not make the choice based on that criteria.

Absent delays, legal connections generally all work OK, as long as you're fit enough to move quickly through the airport. Others have laid out typical delays and what they normally aim for in connections - they're more conservative than me in general. Morning delays are less common than afternoon/evening delays, and most of the time it's the morning connections tat are particularly time-sensitive for me. I generally book the shortest connection and rarely have issues on the outbound. At the end of the week and end of the day, every once in a while I'll have a delay mess things up, but even then I can almost always get home.

When do you need to fly out, and when do you need to arrive? How do the schedules of connecting vs. direct flights compare from this perspective? If you're always flying out e.g. evening-before the extra transit time is much less of an issue. If you're flying in in the morning (based on a quick 1-way ITA search so may not be complete), the earliest UA option arrives at 7. AA at 720. DL 920 (with a longish 1:20 layover in DTW). UA has 4 nonstops before DL's first flight arrives. AA 1 (and one right around the same time).

On the flip side, DL has 3 arrivals by 9:40 in MKE, and you may avoid some traffic using that airport. There is also a cheaper airtran nonstop to MKE that may be an appropriate business option but would not provide the benefits of a legacy FF program.

What are the typical prices of various carriers? Does your employer have a preferred carrier?

How frequently will you fly? What level would you anticipate obtaining in each program you are looking at? You'd rack up more segments and miles with Delta since you'd be connecting.

Driving from MKE may be more convenient than from ORD.

First and foremost, you need to choose a carrier that's appropriate for your travel requirements and business needs. UA/AA would appear at first glance to be more suitable, depending on schedule and viability of MKE vs ORD DL may be acceptable. Do not choose based on who won't give you a CC right now. Evaluate who gets you there when you need to be there, with a minimum/acceptable level of hassle, complies with any policies in place, and delivers the best level of benefits to you.