The scene with Romano on the rooftop of the hospital at approx. 40 minutes into the episode was filmed on the upper deck of the Rush-Ohio-Wabash-Row Parking Garage at 50 East Ohio Street, Chicago, IL 60611. When Romano looks down, the camera is facing north. The street on the right of the frame is Ohio Street, the cross street where the movie theater is (the old Cineplex Odeon Cinemas) and the former Heaven on Seven restaurant is North Rush Street (that complex’s street address is 600 North Michigan).I'm sure Leon's farewell scene at the Chicago Bus Terminal is a set. It was filmed awkwardly close, and the lighting is suspicious. I think it was shot on the studio lot, maybe even inside a sound stage.