Chicago doesn't have ground wires. Everything in Chicago is in metal conduit with metal boxes. Those, together, provide the grounding system for everything.
I mean, you're allowed to add ground wires if you really want to - belt and suspenders.
Every junction box should have a screw hole that is pre-tapped #10-32 for a ground screw. (you can also add them with a drill). Sometimes installers accidentally use that hole for a mounting screw. The ground screw is where you attach any "belt and suspenders" ground wires and any appliances with a ground pigtail.
Switches ground via the steel yoke and steel mounting screws. Even though the yoke won't be landing hard on the steel box (since it's recessed into the wall), "via the screw head" is good enough for a switch.
Not for a receptacle. That needs clean-metal hard-bottomed-out contact between yoke, optional spacer, and box. No rust, paint or those little squares that hold the screws on.
OR, a receptacle labeled "Self-grounding" can ground through the screws like a switch does.