@PaReinie
Some local channels have their own standalone streaming channel/app. (like WGN-TV, that is free to install and watch on your Roku device).
There are a few other Chicago news stations under the Roku Channel Live TV local news category (ch.4110-4114) as well if you do not want to install individual channels/app.
For some channels/apps like CBS, they may offer some free content, but also may require a "TV provider" (like cable or satellite subscription) in order to stream additional/locked content. When you launch CBS, just select "Watch Free Episodes" in order to access their free content.
If you are really just after your Antenna/Over-the-Air local CBS station, just connect an antenna to your TV and then select your Antenna Input using your TV remote (not the Roku remote).
You do not link your Antenna to your Roku device to watch your locals. You just use your TV inputs (and your TV remote) and use your TV's built in tuner to watch your Antenna content. When you want to stream something, then just select the HDMI input that your Roku is connected to. You just swap between the two inputs (Antenna and HDMI) depending on what you want to watch.
Roku Community Streaming Expert
Just another Roku user... I am not a Roku employee.
Insignia RokuTV, Ultra 4660, Premiere+ 3921, Express 4k+ 3941, Streambar 9102