United edged past the Italian side 4-3 on penalties after a 2-2 draw in normal time at St James' Park, with Hannah Hawkins saving brilliantly from Marta Mascarello to help the Magpies seal victory in the shoot-out.
England international Stokes was handed the armband for the game by manager Becky Langley, with team captain Amber-Keegan Stobbs and club captain Grace Donnelly both among the substitutes, and completed her first full 90 minutes in black and white.
"I was honoured to lead the team out," Stokes told newcastleunited.com.
"Obviously, a lot of the girls have played at St. James' Park before and had told me all about it, but to feel it for myself was pretty special.
"The fans, they were just incredible, so overall a really good day."
Langley handed minutes to 18 players on Saturday, with everyone playing their part in what Stokes felt was a very impressive win.
The former Manchester City full back is kicking on in pre-season as she looks to rack up as many minutes as possible following a frustrating few years.
"It's nice to be back playing," she said.
"Now, it's just about doing the right things, making sure I recover properly so that I'm available as much as possible."
United are embarking on a testing pre-season schedule as they prepare for their first season in the Barclays Women's Championship.
With seven new faces through the door and just under a month to go until the start of the new campaign, Stokes was delighted to see positive signs against Milan.
"It was only our second game of pre-season, so we've obviously got things to work on but there are plenty of positives from the game," she added.
"We looked threatening and clinical in front of goal when we created chances.
"The girls were ready and everyone contributed, including the substitutes who came on and done a brilliant job."
And Stokes was keen to heap praise on goalkeeper Hawkins and her side's penalty takers for getting the job done.
"We prepared for it (the penalty shoot-out) and the girls who stepped up did the job and meant I didn’t have to take one," she said.
"You always feel good going into a shoot-out when you've got a really confident goalkeeper in Hannah.
"What a save it was from her. She just gave us that extra bit to go forward and claim the win."
