Of the top busines schools Kellogg has the fewest number of grads coming into the program with a finance background. The level of correlation between entering with a finance background and exiting with a position in finance is pretty high, so it's not surprising that Kellogg is weaker in this area than other schools.
I wouldn't discourage someone who was interested in finance (particularly in Chicago) from coming to Kellogg. I think it does decently in recruiting for those positions if you have the right background and skills.
A couple of points:
(1) The correlation is not as high as many people think. At least at Columbia, a large chunk (probably the majority) of people going into finance are career switchers. Even within people who technically did finance before and after, there's usually a switch such as wealth management to IBD, or equity research to investment management, where you might as well be a career switcher.
That said, agree with you that there's a self-selection process going on here - Kellogg is known as a marketing/consulting school, so the people who choose to go there tend to self-select.
(2) I actually think Kellogg is weaker in finance even accounting for self-selection. First, there's just a lack of critical mass at Kellogg to the point where many finance employers outside of the big banks (e.g., investment management, hedge funds, PE) don't even come on campus. I'm sure they'd look at your resume if you dropped, but it's much harder outside of the normal recruiting process. Alumni affinity is also huge among finance employers, and they tend to like taking big chunks of recruits from the same schools over and over.
I know a lot of the above sounds anecdotal, but I actually saw this secondhand when a friend was debating between Columbia and Kellogg (he worked in IBD and at a hedge fund, wants to go bad into hedge funds after school). He did research on the number of his target employers who came to campus, and it was something ridiculously lopsided like 2x-2.5x. Pretty much everyone in the industry he talked to told him to go to Columbia even though it's probably an all-around not as strong school because it has a strong finance brand and attracts those employers. He deposited at Columbia, but it ended up being a moot point because he got off the waitlist at Wharton.
(3) If you want to be in Chicago and do finance, the very obvious choice is Booth.