It sounds like the deicing system on the aircraft failed. That means the crew can't reliably keep ice off the wings. If that happens in flight, the obvious requirement is to stay away from icing conditions. There may not have been a 'blizzard' on the ground in Chicago, but any visible moisture (clouds, fog, rain, snow, etc.) in the Winter and Spring is considered icing conditions. The technical definition of icing conditions for that aircraft is any visible moisture below 10 degrees celsius. The crew most likely discussed the situation with their dispatcher, and they jointly made a decision to return to ROA. Yes, you may have been able to catch a flight from IND to ORD, but if there were icing conditions near ORD, they were probably near IND too. Also, if you had to wait for another flight from IND, you probably would have missed any ORD connection as well. Also, if you ended up stranded somewhere, it'd make more sense for it to be the place you came from. These factors were most likely taken into consideration when they elected to have you return to ROA.. but it sounds like the most important influence was trying to keep the aircraft out of a potentially hazardous situation.