This is the Large Milkweed Bug, and though they feed on milkweed seeds, they are not considered a substantial pest. If problematic, you can sharply tap the stem or pods they are feeding on over a bucket of soapy water to dispatch them; they'll fall in and drown. Otherwise, no treatments of the milkweed are recommended or practical.
These bugs feed by sucking plant juices; they cannot chew, so some other insect has stripped the foliage. If the midrib remains, caterpillars are likely - either Monarch butterflies or Milkweed Tussock Moths, the latter of which feed in groups when young and therefore consume leaves at a faster rate. If the entire leaf is gone in several places, midrib and all, it's possible deer or rabbits have browsed the plants. They have been reported to nibble on Milkweed, despite its presumed toxicity.