Roma
My last trip (June) I did not take a bag anywhere to avoid hassles. Easier to do if you have car and/or hotel. Just carried Camera and water. Very few places had "no bags" signs and I believe most had facilities to store them. Many places had the no camera signs out, but I think that means no flash photography. At least that's what I was told. I noticed you've included Milan; if you are going to Santa Maria della Grazie, you'll have to check everything if memory serves. Quite the sealed enviroment to protect The Last Supper.
Some places were more concerned with noise and attire than bags and cameras. Everywhere I went people were taking pictures with flash, and were usually confronted by staff.
In summation, I had a camera in hand at every big tourist sight visited, and only was asked to check it the once.
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