Wrigley Field can offer protection to fans during the storm. its a huge structure and people can be sent inside to protect them from dangerous weather while they wait for it to pass over

Northerly Island is just a temporary venue, with no pavilion or permanent structure or any safe place they can send people for protection to wait it out, so they just have to get everyone out of there. If there was a place they could temporarily send fans while the storm passes and then continue the show obviously that's what they would have done, as they have done several times before. This venue doesn't give them that option