I carry strong locks with me, and at nights, I lock my bike to something sturdy if I'm staying at a campground. If I'm staying at a hotel or hostel, I ask for a secure place to leave my bike, then I lock the bike up, even if they tell me it's secure. If I'm just running into a store for a few minutes on a break from riding, I have all my panniers, I just bungee cord the panniers really well to the rack and lock up the bike. But if I'm stopped at a restaurant and I eat outside, or if I'm in a very crowded place, I just make sure my panniers are secured shut with those small luggage locks, and I walk. God bless the thief that can handle all that gear and ride away faster than I can run back if they try to steal my bike! So far, I've only had a makeup case stolen with some chanel lipstick, but since I'm not into makeup, it was no big loss.... more amusing than anything that some nasty person stole my makeup bag and wants to use my lipstick. I think I even had fever blisters. Yuck!
I've stayed in everything from 5 star hotels to campgrounds in a tent in the middle of a thunderstorm. I've even slept on a train platform. If you are riding in the summer, just realize it's prime travel season, and you may have problems with accomodations. That's what I carry the tent for.
If you fly into Milan, you can ride north from Milan into Como, then from Como, ride into Lugano, Switzerland. Switzerland has great trails everywhere and cycling is so common and accepted there. From Lugano, you can ride through Switzerland into the Alps and come out into France. I'm not sure if you could do it all in a month, but maybe.... you'd be in for some tough riding, lots of hills and mountains.... but if you try hard, I think you could do it.
Koffee