Yeah, it's nonsensical because they're assuming the higher price to Chicago is correct, and you're doing something "wrong" by paying less. It's actually the higher price to Chicago which is wrong.
The root of the problem lies in lack of competition. Chicago is a United hub. So they control a plurality if not a majority of the flights to and from Chicago. That gives them quasi-monopoly powers when it comes to pricing. They've bought landing/takeoff rights for all those flights and control most of the gates. So even if a competitor underprices United, they can't increase their capacity to handle the extra tickets they'd sell. Their lower price just means they sell out their seats quicker, rather than sell more seats. Faced with selling x tickets for the same price as United, or only a few more than x tickets for a lot cheaper than United, most competitors just match United's pricing.
Consequently the price of flights to/from Chicago are higher than the market would dictate with adequate competition. And you get the perverse situation where a flight form L.A. to Chicago is more expensive than L.A. to N.Y. even though the latter flight stops in Chicago. In other words, you're not saving money by using this trick to fly to Chicago. You're just not paying the extra money United would've made because of their quais-monopoly control of Chicago. (They're still making more money than they should because you're still paying for the Chicago to N.Y. leg.)
Skiplagged.com exploits a leak in the airline's quasi-monopoly control of fares at their hub airports. The airlines can't plug that leak logistically (since their connection flights have to go through their hubs), so they're trying to get the courts to plug it for them.