I'm in zone 5 (Colorado) and mulch when I plant in the fall regardless of when the first heavy frost is expected. I think it's probably more important to get the mulch moved away when you start seeing growth in the spring, you should be able to put your straw down whenever you have the time.

Fampoula, I"m also in Chicago and didn't know that frost was coming last week and didn't get a chance to put my peonies in the ground. I still have like 3-4 of them sitting in the 3 gal pots above ground. These are not bareroots, they are plants. I getting to it tomorrow. I just hope that it's not too late. Crossing my fingers.

I read on at least a couple of the grower's websites that they routinely plant well into Nov/Dec in zones 4 and 5, I think both of you will be fine. Even in pots they should be good without cover down into the high twenties/low thirties.