In that part of the city, streets have an upper and a lower. The street is Water St. East of State St. makes it "East Water Street." Being the Lower Level makes it "Lower East Water Street."Another thing, I can't even find "East Lower Water Street" in Chicago
The lower level streets really help downtown Chicago traffic, as they keep a lot of utility and delivery trucks below the surface traffic.
I recently parked down by this spot to go to dinner; there are a lot of easy metered parking spots, because people don't know how or don't want to go underground.
I imagine he was just looking for a footlong.

I'm in downtown Chicago today, and several people are wearing ski masks and even ski goggles. The wind chill is like 50 below. They are literally setting the train tracks on fire to warm them up.Gloves, maybe. Ski masks? Is that a thing in the US (when people aren't skiing?)
If someone put a noose around my neck, and I escaped that situation, I think that I would remove it post haste. I know that this is a lame, anecdotal argument from incredulity, but there you go.
You can't draw a conclusion by the late hour, because these shows often shoot super late when the streets are empty. Empire, Chicago Fire/PD, etc.
I doubt that the Empire guy was doing a full on Morton Downey Jr. nazi attack hoax, but I will confess that it crossed my mind when I heard that Chicago was "MAGA country," lol. Tell that to our 16 mayoral candidates.