It is all about your personal risk tolerance for the factors in play today.

Of course you can make the connection if you are on time. The question is what happens if you misconnect due to weather, mechanical, or whatever. In that case, you face a lengthy wait or, if there is no availability on the later flight, an overnight at MDW. Both the wait at MDW or an overnight come with the Covid risks associated with public places.

On the other hand, a two connection -- not just stops -- routing comes with the inherent risks of the same misconnect features at each location.

Don't worry about bags, If you can make the connection, the bags can. If the bags misconnect, WN will deliver them to you and the carry-on allowance should allow you to pack for 4-5 days in any event.