We will be travelling from Munich to Milan and from Rome to Munich with a 1st class Eurail pass. These two legs state "Reservations". How far in advance do we reserve?
Since you'll be traveling 1st class, you should not have to worry about any of your trains being sold out (except for night trains), so it should be safe for you to buy your seat reservations at the last minute. Munich-Milan: I assume your route will be Munich-Verona-Milan. Only the Verona-Milan leg requires reservations. Try buying them at the station in Munich. If they won't sell you reservations for a leg entirely within Italy, buy them when you get to Verona. Rome-Munich: Will you be traveling during the day or overnight? If you travel during the day, you'll make one or more connections with one or more legs requiring reservations. If you take the direct CNL night train, you should buy your sleeping accommodation supplements ASAP from Rail Europe. Popular night trains can sell out weeks in advance. If you want to have everything taken care of before leaving home, buy all your reservations now from Rail Europe. You'll pay more than if you buy them at a station, but it may be worth it for your peace of mind. How are you getting from Milan to Rome?