They don't live on Milkweed, they are feasting on my Zinnia's. I have pictures of them, 4 at a time getting nectar from the plants and fighting the black Bumble Bees.
I will be sure to plants plenty of Zinnia's and will save seeds. Such a beautiful flower. So many colors. Janet Wiltzius

Zinnias are a great nectar plant! I don't worry about separating seeds from chaff; I just save the dried blooms and crush them up for mixing & planting. A friend simply bends the plants over in fall and steps on them so the dried blooms and seeds are pressed into the soil.

Adult monarchs do get nectar from milkweed, but the true value of milkweed is as a host plant for monarch caterpillars! Any species of milkweed will do, but ONLY milkweed (Asclepias) will work. Eating milkweed makes the caterpillars taste nasty to birds and other predators.