Steam:
1 : a vapor arising from a heated substance
2a : the invisible vapor into which water is converted when heated to the boiling point
b : the mist formed by the condensation on cooling of water vapor
I suppose 1 is the most likely candidate, but the water hasn't been heated, it's just less cold, relatively speaking.
I'd say it's 2b, right? It's the water normally evaporating from the lake (so it's water vapour), condensated by a sudden drop of temperature in the freezing air?
Odd that they don't refer to the phases of matter? Steam is the gaseous phase of water, so I would think this qualifies, even if the conditions that produce it are unusual in Chicago (luckily).
According to Merriam Webster [1]
Steam: 1 : a vapor arising from a heated substance 2a : the invisible vapor into which water is converted when heated to the boiling point b : the mist formed by the condensation on cooling of water vapor
I suppose 1 is the most likely candidate, but the water hasn't been heated, it's just less cold, relatively speaking.
Personally I wouldn't describe this as steam.
[1] https://www.merriam-webster.com/dictionary/steam