No, milkweed bugs don't eat butterfly eggs. In fact, they don't even eat milkweed leaves, they eat the seeds, so if your milkweeds are being chewed up and stripped, something else is doing it. Milkweed bugs and monarch caterpillars should be able to coexist, but even if they weren't, milkweed bugs are native insects just as much as monarchs are. Nature is dynamic, and though you may have a preference for monarchs, that doesn't justify depriving another native species of its home and food. Milkweed bugs are interesting and pretty in their own right, so perhaps this is the year for learning to appreciate them.