Lived in Chicagoland. It can go both ways. The buildings channel wind but blunt it at the same time. You can be on a street with no wind, turn the corner and get blown away. I can say for sure is that the open plains south of the city are far windier.

Chicago’s probably not the best example because it’s basically on the shore of an inland sea so they get “lake effect” weather. Downtown weather can be very different from just 15-20 miles away.