I once asked an older person about riding the train "back in the day." I noted that while riding Amtrak nowadays isn't always exactly a walk in the park, it was hard to imagine traveling overnite or cross country, especially in coach, decades ago knowing how spartan and non luxury the cars often were. She reminded me that such was, still, a more comfortable higher class of travel than the other practical option, driving long distance, which was no picnic in pre-interstate highway system days. I think this has a lot to do with why celebrities don't travel a lot on the train these days. It's, simply, a lower class of comfort - let alone prestige - than other available options in our own era.
The other thing I'd say about this topic is "Chicago." Though there were other options at the time, the most high class trains always came to - and never through - Chicago. As the capital of the midwest, and a major media hub, this was the key transfer point through which celebrities came. And, as others noted, it was a press publicity opportunity. They had a layover here. Be that hours or an overnight; maybe even a local show. Though the situation remains with rail, airline travel neither necessitates a layover or coming through Chicago at all. And, even if they do fly through O'Hare (where I've seen some famous people transferring flights) it isn't downtown, but on the fringe of the city, where a reporter won't typically be waiting for your flight to come in, nor get sent out from now nonexistent home offices (with everyone, even in journalism, mostly working from home) no more than ten minutes away. Though I have seen such things at times, usually when the press is concerned about something major to the city's life, such as who the new Bears coach or archbishop will be. A funny example of the latter (though downtown) was when Cardinal George was expected to arrive at a hotel reception preceding his installation at the cathedral. The cameras were ready as a limo rolled up. The door opened. And it was, ironically when expecting a Cathoic cleric, Sinbad who arrived and exited to say hi to the press!