Again I’m not an attorney, this is just what makes the most sense for me.   

If that time is relatively short, then a refi might make sense.

But, we now live across the country and managing from this far just doesn't make sense for us anymore so we are ready to sell.

Makes more sense to me to build equity through development and income as opposed to "comps" for SFH and small MFH. 

If I sense any of that nonsense, I tell them I'm out. 

There are a lot of variables to consider so it's impossible to say if investing in one of those other markets would have been "better".However, I think you could make a stronger case that you have been (or would be) more successful with your real estate investing in Chicago compared to other markets.

If you have passive losses or a step up in basis, a 1031 exchange or reverse may not make sense. 

@Robert Guarino, That makes perfect sense. 

I have several and will buy more as they make sense.

Our goal is to always buy, but we are only willing to purchase deals that make sense and work for our investors.