Fly in to Milan, out of Rome - or vice versa?

What time of year?
If you're new to international travel, I'd advise flying into a smaller area first, as it's easier to work through jet lag and acclimate in an area with a slower pace. Rome is crowded and hectic and somewhat chaotic and IMHO a better place to conclude an adventure, when you're more accustomed to Italian ways and the travel lifestyle.
Any reason you're not going to Venice, my favorite city to work through jet lag?

If you’re not flying round-trip, in and out from one city (which I’m guessing would be Rome), then fly in to Milan, and come home from Rome. A train from Florence to Rome is an easy way to make that connection.

Is there a chance that flying in to Bologna (just down the road from Modena), then getting to Milan, then Florence, then Rome would be worth considering?

No specific reason for avoiding Venice. We just want the other places a little more I think.
Modena because of the Ferrari things (spouses' birthday present).
My heart isn't set on either direction, I just assumed Milan would be easier to fly into. Should we consider Bologna?
Would love the see all that da Vinci offered Milan, which is a big reason for us picking that over Venice.

I think if you want to see Milan and Rome, it makes no sense to arrive in a city in between. In principle, it doesn't matter whether you do Rome or Milan first. The airports are connected by train. So you can just choose the best flight times and prices. There is a high-speed train connection between Milan and Rome. Most trains stop in Bologna and Florence. For Modena you have to change trains in Bologna.

Can you fly direct to both from where you are?
There is no one right answer.
We are going to fly round trip to FCO because it's a direct flight and we can get to Venice by train more easily and cheaper than connecting flights. If I could fly direct into Milan and out of Rome, I'd do that.
A couple of years ago, I got pretty cheap round trip business class tickets to Milan but had to go through JFK. It was worth it.

Milan and Rome have direct flights from large cities abroad. Start from either one, depending on your preferences, costs, best schedules. Last summer, we flew from JFK to Rome, eventually made our way up north, and then departed from Milan. I don't like the idea of backtracking to my original point of entry, especially if my whole trip is brief (<14 days). You likely won't find direct flights to Modena or Florence, so you'd have to find connecting flights, which may lead to potential delays and missed connections.

I mentioned the Bologna airport because we’ve flown in on one trip, and out on another, and the layout is easy to use, and very convenient for Modena. But Milan wasn’t on either of those trips, and it looks like trains would pretty much pass through Florence and Bologna/Modena if traveling between Milan and Rome.

Depending on your Ferrari schedule(s) and dates, maybe Bologna would still be an advantage, even if it didn’t seem the most geographically efficient. Check the flight availability and prices, just so you know. From Bologna, Florence is just to the south, Milan’s northwest about an hour away by train, and there’s even a fast train between Milan and Rome for the end, if doing a round-trip flight from Canada made more sense, financially. I don’t know that Milan Malpensa is easier to fly into, or navigate, than Rome Fiumicino airport. Backtracking isn’t always a bad thing, unless you were walking the whole way. :)