Nelson has posted the promised video that go along with his set photos and report. The video shows Bay and cast shooting a scene and later interacting with the crowd while. Thanks to Teddy for the link.
As for the picture to the left, that comes from Seibertron.com's karellan. I believe it is same blue Transformer doohickey from the Hotel 71/Trump Tower video from the other day. Usually when this kind of object is built, it means that a cast member physically interacts with it in some way (touches it, sits on it, whatever). The solid blue color is so that ILM can insert the CGI Transformers piece in its place during post-production. Basically you are looking at the foot, half foot, something of a Transformer for the movie. The site theorizes it might be part of a combiner but there is so little context it is anyone's guess.
Last are even more videos from Wacker Street this weekend. The first video from Seibertron.com is yet another angle, this time from high in the air, on the Bumblebee at the intersection scene with half that soldiers continuing to fire because couldn't hear the cut. After that we have videos from TFW2005's sannman. Six videos total (embeds and links below) they seem to show a below street level angle of the same scenes but incorporates a little bit of tank footage from before the intersection scene (at least guessing by the sounds and explosion) and shows that the firefight isn't just from the ground but soldiers in office building windows (that look a lot like the office tilting prop).
Wacker Drive I | Striker Unit I | Firefight | Police Escort