These are all great schools, and you are right to presume (generally) smaller class sizes, better advising, and more direct prof interaction at Northwestern and Wash U compared to UCLA.
I would choose Northwestern over Wash U due to your family connection in Milwaukee. Don’t sweat the weather – just bring a warm coat, some sweaters/sweatshirts, a hat, and gloves, and you’ll be fine. Maybe a scarf. hehe
So then it’s Northwestern vs. UCLA. And even with added travel cost to Nortwestern, they’re about the same price. NU will cost less overall because chicago is less expensive than LA. So – I’d choose Northwestern.