It's confusing because you have a legitimately complicated problem. When I'm facing a complex set of issues, I isolate each one and look at it separately. That way, I can address one at a time, instead of everything thrown into the mix at once.
The most critical of the issues is this chick's age. It's just three weeks old, and it's inexperienced, small, and has no self confidence yet. It would still be glued to its broody mama if it had been hatched by one. It needs protection and guidance.
So that's your most pressing problem - protecting the chick from danger. It isn't ready to free range yet because it would be picked off by predators. Even in an urban setting, a jay or owl or feral cat or dog could kill it, or even one of the older chickens might injure it.
Chicks grow fast, and they learn quickly. Keep it safe and where it can be around the others and it will soon be ready to join them safely.