I think the cost would be prohibitive. The last NY subway grade crossing, on the Canarsie Line, was closed in early 1970s IIRC. You can't do that in Chicago because many of the streets crossed are major thorofares and stations are built with one end at the street being crossed. The alternative is to cut back the rail lines and that won't happen. Besides, in 16+ years I've lived in the area, there seem to have been only a small number of auto or pedestrian / train incidents. People have learned to be careful I guess!
"Welcome aboard Orange Line run 711. Travel time to downtown is 25 minutes. Next stop will be Pulaski."