I am trying to book train tickets on the swiss train website but it doesn't give me an option to put in the Europe Global Pass
That statement is contradictory. You either buy a ticket, from A to B (Luzern to Milano Centrale), or you use a pass, in which case you don't need to buy a ticket, your pass is your ticket.
Sometimes with a pass you need to pay a supplement (called a "reservation fee") for some trains. This applies to Italian long distance trains, but not Swiss trains. So, with a pass, you probably (depending on which train) need to pay a train-specific reservation fee, from the Swiss border to Milan.
Rail Europe is the most expensive to buy normal tickets, but if they sold you your pass they may be the best option to pay for the supplements (reservation fees) needed on some trains.
Most passengers (locals) just buy normal "A to B" tickets, in which case they don't need to go back and pay supplements, the rail company websites are set up for these "normal" customers.
AFAIK a Global Pass is valid on all SBB (Swiss National Railways) and Trenitalia (Italian national Railway) trains. And some (bit not all) other companies in both countries.