I used to live in Belgrade, let me know (PM) if you need anything by way of advice.
BEG has fun stuff, but not that much.. and not as much as CDG. I'd be tempted to spend the night at CDG.
If you could go EWR-MXP-BEG-CDG-EWR you'd be fine as CDG is lousy for transits.
-JBLU