Hi Jinyu,
Although I'm already working in quantitative finance, most of my knowledge has been limited to areas such as derivative pricing. I'm very passionate about financial engineering, so I would really like to take this opportunity to broaden my appreciation for other areas within quantitative finance (e.g. algorithmatic trading, credit risk modeling) while I am still young. For this reason, my top choices have always been Columbia (because of its track system) and UChicago (because of their curriculum and niche electives). I would also like to gain some research experience in economics/finance, so naturally it makes sense for me to be in an academic environment where I can collaborate with great researchers, professors and industry partners.
As for the Chicago vs New York question, it's ultimately an issue between supply and demand. Although there clearly are more job opportunities in New York, there are also more job applicants with strong financial engineering credentials from across the globe applying for those positions. Although arguably Chicago is not as important as New York or London as a financial centre, it plays a central role in derivative trading and has a high concentration of hedge funds and proprietary trading firms. If you are interested in working in such areas, I would say that Chicago is also a great place to consider. Also, I wanted to point out that the programs based in NYC (e.g. Columbia/NYU) or those that have strong connections to Wall Street (e.g. Berkeley) may have a higher average starting salary due to cost of living adjustments. So when making a decision about your postgraduate employment location, it's also important to factor in the costs associated with living in that city.
All the 3 programs you listed, in my opinion, are excellent choices for a fresh graduate. There are many reasons that prompted me to choose UChicago's MSFM over the other programs, but they may not apply to your case. At the end of the day, it's your decision and you should choose whichever that makes you happier.
Anyway, congratulations and It's been pleasure discussing with you. If you'd like, we can connect on LinkedIn.