I have to say I generally buy milkweed from my local nursery as they are very good about not spraying their host plants with anything. In fact, I usually get free caterpillars there when I buy plants. But a few times I have gotten desperate for milkweed and bought from Lowe's or Home Depot. I've never had a problem with either and sometimes have seen caterpillars on their plants. They usually sell them so fast that the cats rarely have a chance to even get on the plants to begin with. But I would always recommend going with someone you know and trust.
I've also bought organic parsley at the grocery store to feed my Black Swallowtails before. Since the BT caterpillar insecticide spray is organic (since it's a naturally occurring bacteria) you could still end up killing your caterpillars but I took a chance since they would instead have starved. So far my local Publix grocery has been fine. The only downside is since the parsley has been cut it's constantly losing its nutritional value so you tend to have to feed the caterpillars a LOT of it.
I have some little red bugs on one of my milkweeds that I'm going to have to address. I should have taken a picture when I was outside the other day. They're a little bigger than the aphids but sort of similar-looking. I don't know if they're baby milkweed bugs or what but there were a bunch of them together all on one leaf. I usually just let things go on the milkweed but occasionally they do get overwhelmed by aphids or something and I have to deal with it. Fortunately, I don't seem to have any caterpillars in that section of the yard right now so maybe I can just spot-spray some insecticidal soap.
