The short answer is that B&O/C&O got a better deal from C&NW. The other reason is that B&O/C&O also got a better route.
The traditional B&O route also used by C&O trains to Grand Central used a joint B&O/Rock Island line from South Chicago, across the RI main line, over a bit of the RI suburban line and onto the B&OCT main line near Western Avenue. From there the B&O trains went north to what is now known as Ogden where they turned east on the B&OCT line that led past the B&O’s Rockwell Ave. yard to the junction with the St Charles Air Line. To reach Grand Central the B&O stayed on the now-abandoned B&OCT line over the south throat of Union Station to the now permanently-up B&OCT bridge, then down the incline to GC.
To reach the south side of Union Station would have required taking the connecting track to the St Charles Air Line and stopping, then backing down to CB&Q’s Union Tower before pulling into the south side of Union Station. (Today UP’s ex-C&NW route would be simpler, but it runs south of the old B&OCT route).
To reach C&NW station the B&O ran north from Ogden on C&NW’s line before crossing over to PC’s former Panhandle wye (C&NW had rights there) to turn east through the Western Avenue interlocking , then on to North Western Station. Of course the same route could have been used to reach the north joint approach (CMStP&P) side of Union Station by taking a different route at Western Avenue.
The C&NW deal included servicing trains at the California Ave coach yard. At Union B&O would probably have chosen to deal with MILW or CB&Q, since GM&O was a tenant, and CB&Q controlled the Union Avenue approach. PC might have played along since it had rights to both Union Station approaches, and was also a part owner of the Air Line.