I also have done the above (fly into Zurich and rent the car there). It worked out great, and I'd do it again if airfares were favorable. The only thing I didn't care for was having to stay in Zurich the final night of the trip (early flight out the next morning) Don't get me wrong, Zurich is a nice, clean (Spotless in fact) safe city--but a bit anticlimactic after Italy IMO.

Ideally I'd do it again if I could get a later flight back home and I'd drive from Milano on my way back.