Since your resident state is Massachusetts, you will always be responsible for paying state taxes there, no matter where your job is located. Massachusetts does not have a formal "convenience of the employer" rule, but they essentially imposed one during the pandemic which expired September 13, 2021. The state's laws you have to worry about in this case is Illinois, and whether you are subject to their taxation.
Illinois has not stated that telecommuting non-residents are subject to tax because their employer is in Illinois. As long as you have not spent more than 30 days in Illinois, then you are not subject to their state tax.
However, the state does require that if you are requiring a refund of taxes withheld in error, you attach a letter of explanation from your employer. You will also want to notify your employer to change your state withholding.
If they were to withhold Illinois state taxes, you would get that entire amount refunded to you. However, you would have a large tax liability to Massachusetts since your employer would not have withheld any of their taxes.
Even if the laws were to change, while you would be taxed on the same income by both Illinois and Massachusetts, you get a credit on your resident state taxes for taxes paid to another state on that income. It's a little convoluted, but in practice, you are not being double-taxed.
