That depends on the agreement the two jurisdictions made regarding the interstate transfer of your probation. The long and short is, if you do not do as your Michigan PO demands, they may violation you and you could be arrested and taken back to MI for a probation violation charge.
I have to tell you, this is one of the most puzzling situations I have found in practicing criminal defense law. You are on probation. Stop smoking dope! You know you are going to be drug tested. Don't worry; you're not the only one out there who thinks they won't get caught, or they can beat the piss test.
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Probably. In CA, I would actually have gotten permission for my client to move before they did so. I hope you don't run into any problems in that regard. If your probation was transferred, then it would presumably be a Chicago probation officer that orders the tests, if that was originally a term of your probation. Best of luck.