I noticed that too!!!
I recognized more and more of the locals (Lake and Wacker, etc) than the first film which was a bit of a distraction but that is only me since I've been a lifelong resident!
Chicago looked beautiful in The Dark Knight (it always looks beautiful but especially on film!). There is of course the little slip-up where Joker's walking down the street firing the machine gun and in the background there's a bar called Sweet Home Chicago. t: