We’re in Milan and Lake Como. Is it better to take the Bernina train from which city?
The Bernina express doesn't go from either. You need to take a train to Tirano first. Where on Lake Como? There are regional trains to Tirano from Varenna. If you are in Como, then trains would likely be routed through Milan. The trip from Milan takes longer than the one from Varenna.
This page on Seat61 might help.
https://www.seat61.com/trains-and-routes/bernina-express.htm