I would pick it off of the milkweed. It is a caterpillar that commonly feeds on conifers. They are more commonly found in the southern part of Michigan on junipers, arborvitae, and other conifers. This time of the summer they are likely done feeding and are changing over into moths. The male flies to the bags with females and they mate. Females lay their eggs inside the bag and then die. Eggs will hatch out from these bags late next spring. Spraying will not help at this time and only picking them off will remove the eggs. I understand this is not practical on a large tree. Please see the following information from Extension on controlling bagworms. https://extension.umd.edu/hgic/topics/bagworms-trees-and-shrubs
If you do need to protect your trees with any insecticide next spring, it would be best to cover the milkweed prior to treatment. This also includes if you use the biological control, Bt as recommended in the University of Maryland Extension website, since it injures any member of the Lepidoptera family of butterflies and moths.