It’s exciting to hear about your plans to dive into this field, and Chicago is a fantastic market to explore once you move there.It sounds like you’re on the right track with your interest in House Hacking, Mid-Term Rentals, Short-Term Rentals, and the BRRRR strategy.

Being thoroughly familiar with the local market is key.

market rents/cost to aquire What was the outcome?

You should start with a focus on a 2 unit multifamily property in a market that you can afford to get into. 

Partner with people in your market.

As someone else mentioned, insurance here is generally less costly than in Florida and other beach markets. 

If we are losing money every year, but do plan on holding on to it long term, with our goal being appreciation of the market and someone else paying a good chunk of our mortgage, is this worth doing on any level? 

It insures all types of risks but does do a nice job with rentals in many markets

While we are not immune to market shifts, we typically don't see huge bubble bursts. 

When I worked with a property management company, we had someone buy a unit (single family) that had a STR and marketed it as a STR.