There are caterpillars on my milkweed but they aren’t Monarchs. Instead, I have Milkweed Tussock Moth caterpillars (Euchaetes egle).
Some folks refer to them as ‘the yarn caterpillar.’ They do resemble tufts of yarn and are very soft to the touch.
Milkweed Tussock moth eggs are usually laid generously on older Milkweeds while Monarchs generally lay only one or two eggs per plant and prefer younger, more tender leaves.
I’d be much more excited about Monarch caterpillars. However, I have plenty of mature Common Milkweed leaves and am glad to have a diversity of insects adding interest to the backyard.