Moving to Cincinnati
Well this isn't super close to Chicago, but you mentioned the midwest - Cincinnati seems to have an artistic diverse vibe. One area that appears really cute and walkable but may be too urban if you have a family is the Over-the-Rhine neighborhood, with tons of cafes and shops that is also walkable to the downtown with its main library and other cultural things.
Right across the river (still walking distance or biking) is Bellevue KY. I had never thought of either of these places but a vlog I watch on youtube sometimes about an alternative family ("Fight for together") who live in Bellevue revealed how interesting the area is but not yet cutsified. Look at a few of their youtube videos, they walk to places or jog so you can see how easy it is to live there - both on the KY and Cincinnati side. Not sure on the weather but they pretty much live like that all year so somehow manage it.
Seems like a lot of arty types around. I also came across this BBC bit on a family living in Cincinnati during covid and it also shows it has an interesting group of people there https://www.bbc.com/news/world-us-canada-52358591
I have also heard good things about Fort Wayne IN - not for alternative or artsy but just affordable and safe. Doesn't sound like the downtown has yet revitalized but is undergoing some.