Maddening that northbound this is only doable on Fridays from JEF and other points west of STL. Other days you'd need catch Lincoln Service in STL or ALN. (Or catch Southwest Chief in KCY of course.)
The Missouri River Runner/Lincoln Service gets into CHI at 8:25pm and the last CHI-MKE is 8:05pm except for the 11:25pm Friday night train. There is a 9:05pm thruway bus CHI-MKE but that 40 minute connection (8:25pm arrive, 9:05pm) isn't legal to sell, apparently. I get wanting to avoid tight connections with no later protection, but if a connection could be made legal with a little tweaking it would open a whole new set of options for Milwaukee-bound travelers. Other than Friday the last STL-MKE option is at 7:55am. This would add a 3pm STL (and all intermediate points) option to MKE, plus open up JEF and all the other MRR stations to a MKE connection.
That CHI-MKE thruway leaving Union Station at 9:05pm actually leaves the Greyhound station at 9:50pm and it's only about a 10 minute walk from CUS to Greyhound, so that KCY-STL-CHI train could arrive a good hour late and the passenger still catch that bus to Milwaukee if they walk to the Greyhound station. But I don't know how keen they would be to routinely tell misconnects to walk to the bus station to catch their bus at that time of night. Then again some years back when my inbound train missed the last Hiawatha by 6 minutes and they realized the Greyhound for MKE they were putting me on wouldn't help because my car was in Sturtevant, they bought me a Metra ticket for the last local to Kenosha and directions on how to walk from CUS to Oglive late at night to catch Metra. They also gave me $25 in cash for a cab from Kenosha Metra to Sturtevant. It wasn't quite enough but it got me home...eventually.
I was wondering why it wouldn't offer a connection to that bus--the potential for delays and misconnects and not wanting to guarantee it makes sense, though. It's kind of irrelevant, though--I have a 6pm dinner Friday to be at in MKE, so if I want to get there by that time, I'll either have to depart Thursday and overnight in CHI (there are worse things) or I'll be driving the 4 hours to STL/ALN the night before and overnighting there to catch an early-morning train. Either way, there's an overnight involved. :/
Honestly, with having to overnight, plus rail fares that are pretty close to the cost of gas to just drive it, I might just bail on the train and drive instead. I can leave at a very civilized 9am and make it there in time for dinner and spend less than I would for gas+train+hotel. Too bad the routings and timings aren't just a touch more conducive to working out well for this routing.
That said, does AGR allow multi-city redemptions by phone? If I can get a reasonable points redemption for JEF-CHI/>24h overnight connection/CHI-MKE, that might bring the effective cost down enough to make the overnight in Chicago worth paying for. I'll call them when they open and see, I guess.