All insects contribute something to the balance of nature. The question you need to answer for yourself is whether you are more interested in focusing your garden on Monarchs, or allowing nature to take whatever course it may. I don't know what effects the milkweed bugs have on Monarch cats and their development, but they will have some effect on the health of the plants, so I would probably knock them into a tub of soapy water to minimize any effects.

Martha

I kill over half of them, and let about 1/4 live. They do hurt the milkweed, but they are also loved by Ladybug Lions (ladybug nymphs) as a food source. So like Martha said, it depends on whether you want nature to take her course.
I don't want my milkweed wiped out by these sap-sucking bugs, but I also like having ladybugs around. So I control the population. BTW, I'm talking about the soft-bodied insects, not the beetles. Thankfully, I have never had a problem with the beetles, never even seen one.