The program is showing you the name of the Sizing:Period object specified in your input file. This is only a unique name, however, I suspect that other inputs in this object are specific to Chicago and should be reviewed and modified as needed. For example, what is the maximum dry-bulb temperature for your location during the specified day in the Sizing:Period object? Does this match the value specified here? There are also other values in this object that should be reviewed.

SizingPeriod:DesignDay,
  CHICAGO_IL_USA Annual Heating 99% Design Conditions DB,  !- Name
  1,                       !- Month
  21,                      !- Day of Month
  WinterDesignDay,         !- Day Type
 -17.3,                   !- Maximum Dry-Bulb Temperature {C}
  0.0,                     !- Daily Dry-Bulb Temperature Range {deltaC}
  ,                        !- Dry-Bulb Temperature Range Modifier Type
  ,                        !- Dry-Bulb Temperature Range Modifier Day Schedule Name
  Wetbulb,                 !- Humidity Condition Type
  -17.3,                   !- Wetbulb or DewPoint at Maximum Dry-Bulb {C}
  ,                        !- Humidity Condition Day Schedule Name
  ,                        !- Humidity Ratio at Maximum Dry-Bulb {kgWater/kgDryAir}
  ,                        !- Enthalpy at Maximum Dry-Bulb {J/kg}
  ,                        !- Daily Wet-Bulb Temperature Range {deltaC}
  99063.,                  !- Barometric Pressure {Pa}
  4.9,                     !- Wind Speed {m/s}
  270,                     !- Wind Direction {deg}