I recently took a group of colleagues to 'Platform 21' at Milano Centrale Station: An almost perfectly preserved previously hidden underground area of the station, which is now a permanent memorial to the 650 or so members of the Italian Jewish community who were 'secretly' deported to the death camps towards the end of the 2nd world war.

The memorial is informative, poignant, respectful and moving, and encourages reflection, whilst not holding back on the details of the atrocities. There is a plethora of documents and recordings of witnesses relating to the secret activities which were carried out, concealed from the view of the general Milanese public.

The only downside is that (for the moment at least) the texts of the exhibits are almost entirely in Italian, as are the witness's testimonies.

Here's a link (in Italian):
https://it.wikipedia.org/wiki/Memoriale_della_Shoah

Entry is by donation–(a recommended minimum of €10). The entrance is in Piazza Edmond J. Safra, 1, which is about 500m from the far right-hand corner of the front of the station (looking at it from Piazza Duca D'Aosta).

In my view it's a 'must see' when in Milan.