Trains are basically mass transit, just over longer distances. You can almost always just buy a ticket at the station, and go. But buying tickets in advance often does give you discounts.
My suggestion is to book train travel with the national railway of the country where the trip starts. And play around on their websites to see what the differences are between advance purchase tickets, and walk up fares.
Now as to your plan: I would not stay in Zurich, but in Luzern. Be aware that weather wise November is pretty much the worst month to come to Switzerland but you may be lucky. So you would travel Paris to Luzern, and then Luzern to Milano via Chur and Tirano. Note that you do not need a separate ticket for the Bernina Express. A ticket Zurich (or Luzern) to Tirano via Chur will be sufficient. If you want to sit in the panoramic cars on the Bernina Express you will also need a reservation.
An Eurail Pass will not be convenient, as you plan trips in France and Italy, where you still need to reserver seats. And the surcharges for cross border High Speed Trains are significant. Better just book tickets. And in Italy you can also travel on Italo, which is not covered by the Eurail Pass.
