That's a good if complicated question!
Your question is about bags, not about you and as the last reply says, you will have to put you through passport control in Milan. When you arrive in Sicily it should be at a domestic gate.
We flew to NZ South Island pre pandemic, via Hong Kong and Auckland. HK was no problem and the bags were checked through, we just had to walk through a transfer security gate which took moments. NZ was different - their rule is that bags have to be collected and taken through customs on first arrival in the country, i.e. Auckland for us, after which we were treated as any other internal flight for the leg to Christchurch. Had we been coming the other way, bags could have been checked through both Auckland and HK. In the past I have checked bags through to final desitnation in the USA without having to pick them up at the first stop, but countries have their own rules.
So my first thought was if your first arrival in Italy is Milan you might have to get your bags and check them back in - assuming the Milan - Sicily leg is effectively an internal flight. Plus, we are now no longer EU citizens so are likely to be treated as any other overseas passenger - imagine arriving in Milan from the USA then going on to Sicily.
But even without bags: aircraft on gate bang on time, it can take 10 minutes plus to shuffle off, much much more if its a walk to bus and wait for everyone else arrangement (which I hate but seems to be common practice now): for departure boarding often starts at least 30 minutes before take off and can close 10 minutes before so you have maybe just 20 minutes to get gate to gate via whatever border and security checks there are. All very tense and you will be hoping for a tail wind on the way in. Never been to Milan but some airports like Amsterdam it could take that long just to walk it briskly.
I would make no assumptions and ask the airline!
(one good experience to relate, back in the days when customer service was more of a thing. We - 2 adults, 2 children - were flying from Billings Montana to London via Chicago. First flight delayed by a storm before takeoff, I asked the stewardess what departure gate we would need in Chicago. I knew it would be tight. She found out and told me. Arrived, as we came down the 'tube' from the aircraft a uniformed steward intercepted and asked if we were the family wanting the LHR flight. I doubt they get many Brits coming from Billings. He took us down some stairs, into a shuttle van, accross the airport and up some steps by the gate we wanted. Even had time for a beer before we boarded. Thank you American Airlines! But that was pure chance, I always allow 90 minutes or more for transfers)