Not exactly.
If you buy from an FFL in Illinois, gun show or no, you have to do Form 4473, have your FOID recorded, submit to a background check (the "instant" NICS check) and then wait out the waiting period (three days per handgun, one day per long gun--and only "business days" count as of this year, so if you bought your pistol on Friday you can't pick it up Monday.)
If you buy from a private seller, you still have to have him record your FOID (and if you know what's good for you, look at his and record it) and you still must observe the waiting period, but he doesn't have to call in the background check on you. It's that lack of a background check requirement to which they refer as "the gunshow loophole." It's not a loophole, of course, it's just a less stringent requirement for people who aren't professionals. It's no different in principle than the different requirements for professional auto salesmen as opposed to people selling their own cars using ads in The Shopper.