This happens for all the multi-segment, same flight number flights.
UA 941 = FRA-ORD-LAX. Generally, the FRA-ORD goes by UA 941, whereas the ORD-LAX gets the 8xxx number.
Also, the "UA 8527" that the OP found which operates YYZ-ORD is a UA codeshare number for an Air Canada-operated flight. ATC will "call" that flight as Air Canada 513.