I think that warning may stem from the problems that I read about all over the BW forum this spring about recent grads getting hired but then not getting visas. I am not an international applicant so its not an issue with me though I could see someone being scared off by that. I dont think they are telling you they wont accept you...they are just warning you that you may take 125K of debt and will have to leave the country for your home country where the pay will be far less.
I am planning a trip to Chicago this fall to visit both Kellogg and Chicago. I haven't decided if I am going to apply to one or both yet. Though I have found some courses at Kellogg that are really appealing for what I want to do.
As of right now I am working on my Kellogg R1 application. I am glad I got my GMAT out of the way right around when all the applications were released...now I just have to keep plugging away. The people I have volunteered to be my essay editors are going to be helpful so I dont want to load them up all at once.