Yeah, police tend to vote the same way their cities/towns do, I think. The Chicago Police are very Democratic (moreso on the local level than when Obama is on the ticket) despite being conservative.
I wouldn't describe them as "conservative." Certainly on some issues, but not overall. City politics are complicated.
Perfect example of how, outside of political nerd conversation and extreme partisans, cultural conservatism, social conservatism and economic conservatism are by no means inherently related.
The perception that they are is mainly a result of the nationalization of American politics (or at least, political discourse). And frankly, there is a lot of truth to that perception these days in terms of national politics.