I don't think most people on here wonder why you whine about a PHL - CHI train; the main contention (at least for me) is when a PHL - CHI train is pitted against a train that has unique markets and eliminating a train would result in removing some people's only access to the passenger rail network.
Back on topic...
I'm not opposed to the idea of maybe having a through coach and through sleeper from, say, the SWC or EB to the Cap. However, Amtrak would need to have spare Superliners available and the trains would have to be reliable enough to make that connection most of the time. It's not worth delaying the Cap because you have a few people on a through car that are still two hours out. In which case you really don't save any connections, although people might be more willing to stay in their sleeper overnight if they know that'll be their room out to WAS (or whatever their destination is.)
That being said, would there be enough people who would pay more than what they currently pay for a CHI connection for it to be worth dealing with the equipment moves? I'd be tough-pressed to say that, and if we say "well, they won't pay more, but it'll still be a better customer service experience" I would argue that spending that money on IT systems that would allow easy rebooking on a missed connection, maybe even an automatic hotel voucher (to save the "having to wait in line for a new ticket/a hotel room/a food voucher" when just getting off a very delayed train) would lead to a much higher return on investment. If Amtrak suddenly gets enough money to be adding trains to add one-seat rides to more markets, they should be also finding money (or dedicating money) to improving the missed connection experience and making it much more seamless than it is today.