Being careful, change of variable amounts to the two identities
$$\int_a^b f'(g(x)) g'(x) dx = f(g(b))-f(g(a))=\int_{g(a)}^{g(b)} f'(x) dx.$$
The first identity uses the fact that $f'(g(x)) g'(x)=(f(g(x))'$, along with the fundamental theorem of calculus. The second identity is just the fundamental theorem of calculus.
In the common notation for change of variable, we denote $g(x)$ by $u$ and $g'(x)$ by $\frac{du}{dx}$, and then we write $\frac{du}{dx} dx = du$. If you want to be more mathematically careful, you can treat this last step as just being notation, and solely think of change of variable using these two identities.
Your example is sort of awkward for conveying this point because in this notation you're basically taking $g(x)=\arctan(x)$ and $f(x)=x$, which could just as easily be done with the fundamental theorem of calculus without bringing the chain rule into play. A better example would be
$$\int_a^b \frac{2x}{x^2+1} dx.$$
In this case you have $g(x)=x^2+1,g'(x)=2x,f'(x)=1/x$. So you can select $f(x)=\ln(x)$ and the definite integral is $\ln(b^2+1)-\ln(a^2+1)$.