All of this is an arms race for the monarch butterfly. Early instars have the classic warning colors, but I don't believe they're poisonous yet. Spiders and wasps make short work of them. As mentioned before milkweed sap turns to tar when exposed to air. Roughly one third of all monarch caterpillars don't survive their first day due to their mouths being fused shut. On the flip side, caterpillars need to eat the plant to gain it's toxicity. That can't happen if the aphids have drained the plants dry. Pictured above is a caterpillar who's taking advantage of the system.
As for the milkweed plants go, I believe young ones are at risk of being eaten to heavily to come back next year. Older ones should rebound better to such attacks. Generally when planting milkweed in the garden it's a good idea to include some sort of autumn companion plant to steal the show away from the milkweed, which can often be left bare of any leaves.