Actually, I can make it happen just exactly the way I want it to with multi-city -- BOS-CHI, CHI-BDR (via SAC and CMO). But I believe that by breaking it into two legs, I would have to use extra Guest Rewards points for two, 2-zone trips, instead of one, 3-zone trip. The online screen will show me everything exactly as I want it, but won't show the CMO-BDR bus unless I break it somewhere. If the darn thing would book it online as a single trip, I would get it for 35,000 points. I am going to try speaking to an agent. I guess, at the worst, I would have to pay the $25 for the bus. But it is an Amtrak bus, and should be included.
You can do what you want with no penalty by breaking it up into two legs, but CHI is the wrong place to split the trip since it is not on a zone boundary.
You should break up the trip in DEN, which is an AGR "border city."
Book BOS-DEN as a two zone award (20,000 points), then book DEN-BDR as a one zone award (15,000 points). These are both bookable segments, and you just stay on the train in DEN. Now, you have gotten from BOS-BDR for the same 35,000 points as you originally planned, and you can cancel your currently booked trip and get your $25 back.