Originally Posted by davem4
That is the Ogilvie Transportation Center (aka North Western Station), where quite a few trains come in, but not the one you'll be riding. Your train will come in to Union Station, which is a couple of blocks south. On your map link, if you look straight south from OTC, at the bottom of the map is a square building with a glass roof (3 blocks south). That's Union Station.
Given that, back to your original question, Metra is definitely safe, and the area around Union to Wacker Drive isn't an area I'd be concerned about.