I‘ve owned Milanese loops for a while with Apple watches - never worked out with them. I usually work out with a standard rubber sports band (used to Apple, but moved more to Nomad in recent years). I will occasionally work out in the fabric sports loops. I‘ve had the titanium loop for the Ultra for a week or so, and I don’t intend to work out in it.
I think you can work out in either the steel or titanium milanese loops, but I simply prefer to work out in the sports loops and swap out after (if at all)