You will be checked when you go on the Eurostar, I believe on arrival in Brussels. You should have no immigration (passport) checks between Brussels and Zürich as Switzerland is now part of Schengen. You may, however, have a customs check as Switzerland is not part of the customs union. However the checks are performed on the train if you come through Germany or are on a through train from France. If you're changing trains in Basle on a train from France, you'll walk through the customs when changing platforms.
I doubt there's any check on the Zürich Milan and if there is it will take place whilst the train is moving.