Chicago — Things were pretty quiet around the Auditorium Theatre in downtown Chicago on Tuesday morning — probably no surprise, given how late things went the night before. “The Late Show With Stephen Colbert” kicked off a four-night run of live shows from the venue — part of the Roosevelt University campus — with an episode that didn’t get off the air until a little after 1 a.m. Central Time.

That’s perhaps why the Auditorium still seemed a bit dead around lunchtime — save one lone man sitting outside the theater and carrying two big backpacks. Either he was ready to wait for days until he could snag a ticket to the show, or he was a Roosevelt student who had picked that specific spot to sit and scroll his phone for hours.

Beyond that, pedestrians and Roosevelt students strolled past the Auditorium without giving much thought to the major late night talk...