Being from Texas, you will likely feel the cold of Chicago more than the natives do and want a really warm coat. The warmer the coat, the higher the price (usually). Also for me who runs extremely cold, only a puffer will do when the temps are below the upper 20's F.
Not all puffers have the same degree of warmth, and how they look is not always a clue. Macys has Michael Kors, Ralph Lauren, and others , and those brands in my experience are more about fashion than serious warmth. I suspect Uniqlo is in that group too but don't know from experience. Aritzia makes gorgeous and super warm coats, but they are quite pricey. The sporty brands often have coats in a variety of temperature ratings.
Puffer coats of any type are lighter than most wool coats so easier to carry around etc. And the packable ones are of course ... packable.
You can always plan to wear a layer under the coat if you don't end up with a super warm one - puffer vest, thick blazer, even a packable puffer jacket. You might have those things in your wardrobe already. if you went with Uniqlo you get a puffer coat AND a thin packable puffer jacket for reasonable prices and be done with your shopping
If you prefer petite sizes (I think you do from what I remember) that will limit your choices dramatically. I need petite sizes to get the right fit in the upper body and waist area and typically look at LLBean, Lands End, Eddie Bauer for puffer coats, or Macys if I want one of the less-warm ones. If regular sizes work for you, you'll have a lot more brand options.
Here in New England (I live in a colder area than the city of Boston) in winter I always wear (or have handy) a scarf, gloves and hat, and make sure they are not thin knits which the wind will blow right through. If you're not outdoors very long or if you run warm a moderately warm coat can be ok with the right accessories. For me an unlined pair of leather gloves is much warmer than a thick knit.
Lots of coats are on sale right now so that should help with keeping the costs down.
