After all, the manager saw his players themselves up after falling behind by three. Then, they stumbled late in the game.
"We played well today," Maddon said. "We had them on the ropes. They showed why they went to the World Series last year. We showed why we're not ready yet."
Kansas City's Lorenzo Cain hit a tiebreaking RBI double and scored in the eighth.
Mike Moustakas walked leading off the eighth against Pedro Strop (1-3). Cain, who had three hits, then drove him in with a double to the base of the wall in right-center, and the Royals scored two more thanks to an error by center fielder Dexter Fowler with two out and Justin Grimm pitching.
Fowler dropped Omar Infante's liner trying to make a shoestring catch with runners on first and second, then fell trying to pick up the ball. Cain and Eric Hosmer scored, making it 7-4, and the Royals got back to winning after a three-game sweep by the Yankees in New York.
Edinson Volquez was making it look easy before Chicago's Jorge Soler chased him with a two-run homer with two out in the sixth. He connected on a 3-0 pitch, making it 4-3.
"We needed to have this win today," Royals manager Ned Yost said. "We didn't want to take the five in a row. That's a much improved club over there. They've really got some nice young talented players."
Volquez was in line to win his third straight start before the late rally. The right-hander allowed three runs and six hits, struck out a season-high nine and walked one.
Jake Arrieta lasted seven innings, allowing four runs and eight hits. He struck out five without a walk.
Kansas City, making its first appearance at Wrigley Field since 2001, wasted no time jumping ahead in this one.
Outscored 29-5 over the previous four games, the Royals immediately grabbed the lead when Escobar drove the first pitch to the bleachers in left-center for his second home run. It was also his second career leadoff homer, both coming this season.
"I knew going in that he likes to come out hacking early," Arrieta said. "Had a heater there to start the game, obviously wanted to try to get ahead. It leaked over part of the plate too much and he put a good swing on it."
Royals hitting coach Dale Sveum was back at Wrigley Field for the first time since he was fired as Cubs manager following the 2013 season. The ballpark, in the early stage of an overhaul, is looking different, with two large new video boards and new bleachers in the outfield. "It's a little way from what you're used to, but in the long run I think it's going to be all right," he said.
STINGY WITH HOMERS
Russell's homer was the second allowed by Herrera this season after he went 105 1-3 innings without allowing one. Cleveland's Lonnie Chisenhall connected against him on May 5.
Royals: OF Alex Rios is expected to return to the Royals' lineup Saturday after being sidelined by a broken left hand since April 13 when he was hit by a pitch from Minnesota's J.R. Graham.
Cubs: The Cubs pushed RHP Jason Hammel's start back a day to Sunday to give him some extra rest. Manager Joe Maddon said he is fine.