One big reason why the 'I-41' number continues through metro Milwaukee, instead of stopping partway through (ie, ending at either the Zoo or Hale interchanges) is that for as long as those freeways had existed, people who are 'non-savvy' on the subject of the minutia of highway route numbering (including out of town big-rig truck drivers!) were getting lost transiting Milwaukee County while driving between Chicagoland and the Fox Valley (Fond du Lac, Oshkosh, Appleton, etc) - the best routing (present-day I-41 freeway) changed route numbers three times, while US 41 (on the freeway at either end) still used its old city street routing through the county. It keeps the same recognizable route number on the entire corridor.
I believe that this is a legacy of the Milwaukee freeway system not being completed as originally planned.
This is something that I had been bugging WisDOT about since the 1980s.
Mike