This is the first time I've ever heard of Metra referred to as "light rail". Metra uses enormous diesel locomotives and runs on freight rail ROW (for the most part)--there's nothing "light" about it.
To be fair, most European commuter rail does the same thing. They just use electric heaters, so it doesn't look like their tracks are on fire. Chicago was built up with a big natural gas infrastructure for some reason (like every home seems to have gas heat/dryers) so I guess it made sense to put gas heaters on the rails.
(Well, that's the ground-level light rail — Metra — that does that)