I have read that some hairy guys have hairs getting snagged in the milanese loop, so that is something to take into consideration. I have no hair on my arm/wrist, so it is not a problem for me.
I thought this would be an issue for me but was pleasantly surprised, no pulling on my wrist hairs at all. The only discomfort I've had is that it does tend to snag my beard if I'm scratching my ear or something. The only other annoyance is that it does loosen up when I'm running. Aside from that I didn't notice it becoming loose throughout the day.
With that said... My Watch (42mm Sport) and milanese loop are both being replaced by Apple right now. I received my milanese loop on Friday (last week) and noticed that one of the lugs wasn't locking into place on my Watch. Tried reversing the band/Watch, same thing. Figured it was a faulty band/lug.
Took it to Apple yesterday and my milanese loop locks in properly on two of their spare Watches. Crap, guess it's the Watch after all. Try another milanese loop (Genius' personal band) on my Watch, it locks properly. Double crap, guess we'll replace both.
My Genius, and the neighboring one, both said they had noticed a lot of odd fitment & quality issues with the milanese loop. I don't regret the purchase at all, but if someone is looking to buy one as a secondary band then I'd probably advise them to wait another month or two for their manufacturing to be adjusted.