I may not be understanding you correctly. Are you saying you thought the dS writers made up that there is a Canadian Consulate in Chicago?

And no, the various buildings used in the show for exterior and interior shots of the Consulate are in Toronto, not Chicago (although one of the buildings could be said to be on American ground since it is the U.S. Embassy building in Toronto). The actual Canadian Consulate in Chicago is a suite of offices in a high-rise building on Stetson Avenue across the street and around the block from the Fort Dearborn site.