Michael,
"After doing research on it all I think train to Zurich and plane to Milan is cheaper and less time!"
Travel from St. Moritz to Zürich by train and then a flight to Milan is ludicrous and it will absolutely NOT be faster and cheaper than travel by train to Milan. For example.....
travel by train from St. Moritz to Milano Centrale will be about 4H:25M (one change at Tirano). The segment from Tirano to Milan will take 2H:32M and the current fares are listed at €11.50 PP (I didn't check the segment from St. Moritz to Tirano). DON'T forget to validate your tickets prior to boarding the train in Tirano, or you'll risk hefty fines which will be collected on the spot!
The alternative..... travel by train from St. Moritz to Zürich airport ranges from 3H:26M to 3H:40M. Once you reach the airport, you'll have to add time for walking to your gates (it's a large airport), check-in, security, waiting times, boarding and de-planing and then travel from the airport in Milan into Milano Centrale (about another hour for that). Total time for that trip will probably be in the 7-8 hour range.
Taking the train from St. Moritz is a far better option. Rail passes are rarely cost effective for Italy, so I wouldn't suggest buying another pass. Keep in mind that the train from Milan to Venice will be a high speed version, and Passes do not cover the compulsory seat reservations for those. You'd have to pay out-of-pocket for the reservations. Don't be caught without valid reservations for the train you're riding on, or again hefty fines!
It's far cheaper to purchase advance tickets for the high speed trains, as if you can get the Super Economy tickets they're a good value. However note that the S.E. tickets are non-refundable and non-changeable once purchased, so choose carefully before you buy. You can buy tickets in advance from the Trenitalia website or from Trainline.eu at the same price. On the trip from Milan to Venice, you could also look at Italo Treno which operates a competing high speed service. You can also buy tickets for Italo on the Trainline website.
When buying tickets for trains in Italy, it's important to know which stations you'll be using. Many cities have more than one station.