AZ actually has two flights a day from both MXP and FCO, IIRC. Of course, some of them have those odd 2 am departure times you see to and from Egypt, but what can you do?

That being said, I would connect through MXP over CDG any day. Even though I am not an AZ fan, I have warmed to MXP. And while the AZ planes may be shabby and feature surly FA's, at least the seats are roomy - the middle seats on the A320s must be at least 20" across!