There is no direct walking connection between Chicago Union Station and any CTA L/Subway station.
What you found was the underground connection between the bus transit center, across the street from Union Station and the Union Station south concourse. This path will also lead to a parking garage under the newish BMO/Harris headquarters, which gets you to Clinton Street a block from the CTA Blue Line station. Where you still have to navigate stairs and a narrow escalator in a station which was never really built to service intercity railroad travelers, even though it was built in the 1940s (and hasn't been updated much since.)
For other identifiers around Chicago Union Station, see this thread where I offered a recent photo essay and there is a video from someone who used it to travel via Amtrak a few months ago.
https://www.amtraktrains.com/threads/chicago-union-station-discussion.83465/page-10#post-1045824