When Kelly is going upstairs in the burned out home with Det Pryma, when he turned down the hallway the sconce lights were on. Can also see the lights from the bedroom. Kelly wasn't expecting the lights to be and was using his flashlight anyways.
Severeid refers to a fire on "North Erie". In Chicago, Erie Street is either "East Erie" or "West Erie". There is no North Erie.
The Pickwick Theater is located in the suburb of Park Ridge, while the fire department is located in the West Loop area of Chicago - about 17 miles away. They would not be called to go that far for a fire.