While there are a few places in the Chicago area that might fit the bill (including Six Flags and the smaller Bensenville Water Park), I'm going to assume you're talking about the new 65,000-square-foot CoCo Key Water Resort inside the Sheraton Chicago Northwest Hotel in Arlington Heights. Yes, it's safe here, particularly as you'll be inside (just don't leave any valuables in plain sight in your beach bag!). Honestly, Chicago is a very safe (and enjoyable) place to visit with kids, despite a still-lingering rep for high crime in some parts. Yes, there are areas you'll want to avoid, but the same goes for any big city.