I asked a similar question to an Amtrak agent a few days ago. Here's what he told me:
Officially, your ticket gets treated as a "no-show" and is "subject to automatic cancellation" if you haven't boarded the train within two hours of the originally-scheduled departure time at your ticketed station.
He said that if you're traveling without checked baggage & printed your own ticket, it's "very unlikely" anyone would give you any problems as long as you were on board within that two hour window of time.
If the train is running late, or you have checked baggage, things get more complicated & uncertain. Apparently, staff have a tiny bit of discretion to relax an official policy, and almost unlimited discretion to rigidly ENFORCE an official policy. So, if your train is scheduled to depart from Chicago at noon, and Milwaukee at 1:45, but gets delayed and doesn't arrive in Milwaukee until 2:05, you COULD be denied boarding if someone wanted to be mean, but it's unlikely to happen unless you give them an excuse to SAY "no". If you're on board the train, have a valid ticket, and it's within 2 hours of the train's actual departure from Chicago, it's almost inconceivable that they'd make you get off the train at the next station & leave you stranded. But if you showed up at the station in Milwaukee 4 minutes before departure with checked baggage & needed to have them print your ticket, they COULD refuse, and management would back them up (possibly giving you a retroactive credit for future travel if you got lucky, but nevertheless leaving you in a world of hurt at that particular moment).
Another issue: if you DO need to check baggage, they probably WON'T tag it for the earlier station on the return trip. They won't do anything to prevent YOU from getting off the train before your official stop, but any checked baggage will probably be going to your official ticketed destination whether you like it or not. That's not to say you might not get lucky... but if they refused to pull your bags in Milwaukee, or refused to tag them at check-in FOR Milwaukee, they'd be entirely within their discretion, and you'd be out of luck.