I took the train from Bristol to Rome last year. That was a pain (and a lot more expensive than flying); had to pack the bike at the station in Paris (and vice versa). But if you were flying, you'd already have the bike in a box, and would already be taking public transport into Milan? So not sure it would be much extra effort than to carry the bike in and out of a station, and on and off a train. Mind you, I wasn't using a bike box but a bike bag -- the trains are pretty friendly to bike bags ...