I'm in Illinois too, and mine passed through NY customs. Packages don't get searched "at the border." The "border" refers to the sorting hubs that mail and packages go through.
I think there are 5 international hubs that packages can go through while entering the US, and one of them is in Chicago. But I've ordered many things from different countries, and the hub that the package goes through seems pretty random.
Technically, even after a package goes through customs, it can still be seized at any point if the postal service finds it suspicious. (That's why domestic mail can be seized even though it's not going through customs offices.) But it doesn't happen often. Once it clears customs, it's usually good to go.