
Now for the good news. In cold climates Milkweed plants are basically not bothered by the pests, and these aphids will not spread throughout your garden outdoors (however it is also common to find these on certain types of Rudbekia, which are equally impartial to their presence).
Although Oleander Aphids cause mostly aesthetic concerns for garden in Manitoba (in warm climates they last longer and impact more types of plants, causing greater concern), there is some potential that a large quantity of the bugs can make it hard for butterflies to lay their precious eggs (the caterpillars, once hatched, certainly do not seem bothered by the aphids).

One other eco-friendly control tactic is to spray down the stems with fast flowing fresh water. This usually breaks the aphid's feeding beak, essentially rendering them mortally wounded. The one caution with this approach is that it can damage Monarch caterpillar eggs which co-occur on the undersides of the Milkweed leaves. To reduce the potential for harm a less vigorous spray of water can be used, and it can be targeted on the stems and tops of foliage.
Or you can simply squish them!
Milkweed is a tenacious plant that bears this burden easily - sometimes its just how the garden works.