I fly to US-MXP four times a year and always check a bag (sometimes two). I am in Italy for a week to 10 days and need to wear suits/ties/etc. and cannot rely on local laundry to get stuff done in time at a non-infinite price.

When I used to travel to Italy through LHR or CDG the bag would sometimes arrive a day later than I did, but I have had relatively good luck on US to MXP.