I think you are making the assumption that the capital city is the most diverse and open. This is not the case for Canada, Australia, and the USA just off the top my head. I wouldn’t say that the capitals are close minded, but they shouldn’t be the first option for easiest to integrate into by a foreigner.

I recently moved to the UAE, and Dubai is considered more foreigner friendly than the capital, Abu Dhabi.

I think Milan is easier than Rome. Milan might not be the administrative capital, but it's certainly richer, more tolerant and more international.

This is not the case in Italy. While Rome is probably more accommodating to foreigners than a random 100-people village deep in the Alps, Rome is also the worst mess of a city we have. Milan, Turin and Florence are probably more suited for somebody who doesn't speak the language or understand the bureaucracy. If you can afford to live there, smaller municipalities used to deal with tourists are also a good choice. At least they'll speak English.

I think one of the most important things to keep in mind, if you want to move to Italy, is that Italy is a diverse country. There are places which are very open-minded and welcoming and places where people don't want even other Italians to move in, let alone strangers. Doing some research before moving will help a lot.

In Italy it's a matter of north/south. The further down, the more middle ages mentality you will get.