Anybody flying in to Milan, the testing setup is comparatively easy and a little more refined than it was a few weeks ago. I've done both over the last week, both are of the PCR stick up the nose type.

LIN - the area is right after passport control and impossible to miss. Just turn up and do it. You'll get a call within a day if positive, otherwise you're free to go about your business. They don't contact you if negative.
MXP - its a little more difficult to find, all the way to the left after you walk out into landside arrivals by the currently closed off Exit 1. You do have to reserve in advance but the result comes via email within a couple of days.

Nobody is stopping you leaving without doing the tests anymore, but you run the risk of the police following up with you later on if you haven't made alternative arrangements.