Driving rental car out of Milan central

You could always take the train to Alba and rent a car there, return at MPX.

Don’t know where you are headed to in the Alba region. Take a look at Novara as a rental car option. It’s a 2h 15min train ride from Varenna with a change at Milan Central. Will you be traveling to towns or lodging in the Alba region with no or infrequent train service where a car is required?

Coming from Varenna, why don't you get a Hertz car in Lecco? You are aware there are ZTL issues in downtown Milan?

Milan Centrale is well outside the ZTL area, so you should have no issues getting out. Google Maps would route you to the ring road, bypassing the center of the city entirely.

You could always take the train to Alba and rent a car there, return at MPX.

That's what I would do to avoid Milan's congestion charge area, the ZTL and the notorious always-packed ring road. The downside is that they should take a local train from Varenna to Milano Centrale, an high speed train to Turin Porta Susa station and then another local train from Turin to Alba. Two changes, 4 hours and 20 departing from Varenna-Esino around 8:30 AM.

I'd do it only if I wanted to spend a night Turin, otherwise I'd drive from downtown Milan.

You could take a train to Alessandria (about 1.5 hour train ride from Milano Centrale) and rent a car there. Then return it to Malpensa airport at the end of your trip. That way you can minimize the driving (Alessandria is much closer to Alba than Milan) and you can avoid driving in a big city like Milan or Turin (although Alessandria is not a small village, but a small city). Going to Alba by train is too much hassle (several changes at Milan then Turin) and I don't know how many rental agencies would be available in Alba.

But if you can't make changes to your rental arrangements I don't think it's too bad to drive out of Milan from the station. The station is outside the Area C (congestion fee zone) and you could easily take Via Vitruvio and reach the Vie di Circonvallazione (ring boulevards) that go around the historical center, and eventually reach the A7 (Genova direction) and then the A21 freeway to Alessandria (and eventually Asti and Alba).

Driving in Milan is troublesome, but alternatives are generally longer and even more difficult. Milan is laid like a bull's eye, with three major rings before hitting the external (highway) ring. The area within the second inner ring is subject to congestion charges so better avoided. If you manage to hit the third ring (viale Brianza, actually ducking under the station tracks) and follow along an half turn around Milano, you will eventually end in viale Liguria and hit the crossing with via Spezia, giving you the access to A7. A clockwise half turn (through Piazzale Loreto and Piazzale Lodi) looks to me easier and quicker than the counterclockwise one.

One disconcerting feature of the Milan traffic pattern is that on major roads you are not allowed to turn left to keep traffic flowing. The left turn is allowed only at major crossings; if you have to turn left, sometimes you have to plan it in advance and substitute it with a series of right turns or move to a side section of the road. But if you follow the above itinerary you should have only one left turn in an allowed place.