In Part 3 of the book, Montag has escaped across the river. But the hunt for "him" keeps going on. Finally, it settles on a man that the authorities say is Montag. He has helicopter spotlights shining on him. The mechanical hound is released and it kills him.
The authorities need to find a scapegoat because they would look bad if they allowed someone who had done what Montag did to escape. As Bradbury says in the book, it "saves face" for the government to catch someone. As long as the public thinks it's Montag, everything is okay.
As for Chicago, I don't think he's happy about Chicago itself -- he's happy because he finally remembered where he and Millie met.