Most skyscrapers are built with a series of counterweights in them to help from swaying too much. The buildings are also to designed to sway in the wind. It actually makes them safer.
Imagine a stick that has been dried out. It’s very rigid, but it can be snapped easily. Then take a stick freshly cut from a tree. It can bend quite a bit before it actually breaks. That pliability works the same in the buildings.
Then think about the tall buildings in places like San Francisco and Miami. These buildings can take beatings from massive earthquakes and hurricanes and still stand strong. Windy City wind doesn’t compare to hurricane force winds. So you shouldn’t be concerned at all.