Hmm, well I guess you can't have your cake and eat it too. It seems strange that they wouldn't charge you a security deposit whether credit or debit since their policy is always to do so, but I guess the branch you normally rent from maybe doesn't follow standard procedure. I would be very surprised if you didn't get charged a security deposit at ORD.

If you don't want to add your debit card to your profile, then you will almost certainly need a return airline ticket to be allowed to rent.