The protesters did not let Andrea Jenkins leave until she signed a list of six demands.
Some council members called it a "misuse" of his powers, but the mayor pushed back.
Public works crews last week removed barricades, but activists put some back up.
Mayor Frey wouldn't give a timeline on when the intersection would reopen to traffic.
Activists have been angered by the surprise efforts to reopen the intersection.
Workers moved in early Thursday morning.
Police said the shots were reported from a block away.
It was posted online by the 38thandchicagogfs group.
Applications will open next week.
The People's Power Love Fest kicked off with door knocking to gain additional support for an effort to change the police department.
Medaria Arradondo said there will be increased city, county, and federal law enforcement presence at the intersection.
The mural was vandalized early Saturday.