Is it true that the FreccaRosa high speed train from Venice to Milan ends at Milano Centrale station, not Milano Cadorna station?

The Cadorna station is closer to the central sites we'd like to see and I also read that trains to MXP from the city are faster and shorter from Cadorna.

We'll be arriving in Milan in the evening by train from Venice. We have the morning to see a couple things in Milan before our MXP-JFK flight that leaves at 4 pm. I would like to leave Milan to get to MXP by 1 pm.

So I think we'd like to stay near the Cadorna station but the high speed trains stop at the Centrale station. Is it complicated to get between train stations? There are more Marriott hotel options near the Centrale station (Sheraton Diana Majestic and the Westin Palace)