In that case, there would be no law preventing them from returning your bag to you at the baggage claim in Chicago. There may not have been enough staff available to track it down, or the agent may simply have been too lazy or clueless to deal with the situation. But it wasn't "against the law."

I was in a similar situation with Northwest at DTW about two years ago. They were not able to retrieve my bag that night because of inadequate staffing, but I picked it up the next morning (just in time to go back to the hotel, shower, put on clean clothes, and check the bag in again).