About renting a car at STL - I've never done it.
I have taken Amtrak to STL, and the light rail to the airport. It is a short (120 meter) walk from the Amtrak station to the light rail connection, not as bad as as SAC, and the connection is good, safe, and room for bags on the light rail - but it's a half-hour or so to the airport.
I'd take the light rail to the airport there to rent a car anytime when the near-amtrak-station car rentals are closed.
Even with the airport rental-car fees and the light-rail fare, (maybe $20 total) the airport seems best bet.
Add in that the airport car-rent folks seem to be more up-to-date and helpful in general on the rules --
Book the rent-car 24 hours or a week in advance -- most car rentals have "zero" cancellation fees.
Check the car-rental places fees up-front -- I'm thinking that Amtrak-light-rail-airport will win for low-risk, low-cost, and efficiency.