akiley wrote:
Even though you might get "cleared for takeoff runway 4R fly heading"
you disobey that vector for a few minutes during climbout.

Does that make sense to you?

I think you're falling into a trap that pilots often do (especially us
Internet users). We want it to make sense academically,
systematically. It does, but in this case, I think you should approach
it more practically to see how it makes sense.

Being assigned the runway heading would be unusual for a slow climber
in this instance. You probably shouldn't hear ATC even say it. If
that's what you're assigned, one of three things is expected of you: 1)
He gave you what he meant to give you, and you should fly the runway
heading; 2) He gave you what he meant to give you, and you should fly
the DP with the dogleg; 3) He made a mistake about what he gave you.
Are you 100% sure about any of these? Would your safety (or anyone
else's) be compromised if you made the wrong choice?

Ask for clarification from Clearance Delivery if you're not 100% sure.
The first time you get this clearance from Midway, assume that you're
not sure and ask for clarification.

If it's any help, I've departed IFR from MDW 4R in a C172 many times,
and this has never been an issue. They've always made my instructions
clear, and have always been quite pleasant.