We always stay at the Sheraton Diana Majestic--it's one of my favorite hotels ever and they treat Plats incredibly well. I've always been upgraded to a garden room, even when I check in extra early. It's lovely to arrive after an all night flight and have trees literally at your window even many floors up...very quiet, even if the rooms are kind of smallish. (DogDad loves the toiletries there as well--when you can get him to rave about little bottles of lotion, you KNOW they must be something!)
Location is great--2 minute walk from a subway station that connects w/the airport, so easy in and out any time of the day. I'm in the fashion biz and this is a prime location for fashion types to meet/greet/compete--we really love the people watching in the bar and it's equal opportunity for seeing male and female models, so a little something for everyone! (-: Restaurant is superb and not outrageously expensive for Milan.
Definitely a different experience than the Westin in Rome...