On the other hand if the foreclosure sale happens and no one buy it in the court. The property becomes an REO (Real Estate Owned by Banks) then the bank will assign this Asset to a Real Estate Agent and you might have the Right Of First Refusal Clause that will allow you to buy it.
This is not correct. When buying a property short sale, you absolutely need to be able to receive clear title. Full title searches for liens and other encumbrances absolutely need to be done and are done. Often in a short sale, the house is sold "as is" as far as the physical condition of the home but even that is negotiable. A short sale is much like a standard sale EXCEPT a key point is that the bank (and any other lenders) have to approve the sale because they are not going to be paid the full amount they are owed (hence, they will be shorted). Getting this agreement can often take time (assuming they will give it) and the efforts of an agent experienced in taking short sales through to completion. So when you purchase a short sale, you absolutely WILL do full inspections, absolutely will have title searches done and get proper title insurance, everything you would do in a standard sale. You would never buy ANY property without being fully aware of all the liens against it.
HOWEVER (I'm surprised nobody else brought this up yet), in most short sale documentation you must affirm that you have no prior or current business arrangement with the seller. With your status as a tenant, you can't agree to this without lying, and this could catch up with you later through civil litigation if the seller's lender ever finds out.
Could you wait for the foreclosure sale? Like Joe Schiller said below, you'd probably be wasting your time to wait that long. It could take 2 years, and then the bank still might wait even longer to decide to sell it. And the bank will want to list the property for sale, and they like having the property vacant to do that. So you would be forced to move out and then you might be able to buy the property and move back in. Or you can just purchase a property already on the market now and wash your hands of the situation.
That being said, Mrs. Thomas, you should be looking elsewhere for a purchase. In Cook county the foreclosure process is long and unpredictable and it will be virtually impossible to buy this building prior to the completion of the foreclosure.
It is a great time to buy, find a good agent, have a pro review your financial position and see if being a buyer is right for you.
Your Bank and agents are correct. You can later attempt to purchase at Trustee (not recommended) or as REO when it becomes available.