They put it down the existing rail RoW that the highway was built around.

That station specifically connects with a major bus route that, in one direction, takes you to Midway Airport, and in the other, takes you to the University of Chicago campus, the Museum of Science and Industry, the new Obama center, and the DuSable Museum of African-American history, along with a handful of other museums, galleries, schools, and other amenities.

then wonder why noone uses the train.

Nah they plan for it to be unused, and as evidence of its unuse...

Probably actually thinking something along the lines of: "Nobody important uses the train, so it's best to keep costs to a minimum and build it alongside a more important infrastructure project that people will actually use to save on costs. It won't be as good as a European one but America is just too big for trains to work as well as they do in Europe".

Could be next to a big parking area, so you can leave your car outside the city, and take the train to the center.