I have all three plus three more species in my garden (whorled, purple, and Blue Vine -- sorry not looking up Latin names right now
) and Monarchs will use all, though in my garden they prefer the common milkweed which will more often than not try for 6 ft height.
They have their own pest aphids -- yellow with black legs. Red and black ones are likely larval form of those other insects as rainbowgardener described.
Common milkweed spreads aggressively via rhizomes, but provides a huge amount of food, and it's also the wild foraged species by humans for the spring shoots, flower buds, and young seed pods, and finally the semi-mature silks (milkweed cheese). The size of the seed pods make them the better source for the mature silks to use for crafts and stuffing as well.
Swamp milkweed does best in wet boggy areas as the name suggests, but is narrower, smaller leaved, shorter plants and are well behaved. Tolerates (prefers?) semi-shade. Common milkweed likes occasional flooding but can withstand drought because of the crazy rhizomes that stretch over 15-20 feet. And butterfly weed is the shortest clump that prefers sunny, dry/well drained area. Very drought tolerant. My impression is that the leaves are correspondingly tougher and there are less caterpillars on them. But they will pump out blooms repeatedly if you keep them deadheaded.
I've also tried growing the southern/Mexican silky milkweed and the white swan/oscar milkweed (different African/Australian species) from seeds. They were fun to grow and the Monarchs flocked to the silky milkweed perhaps with relieved recognition of a familiar host plant among the multitude of alien species, but the plants are not winter hardy here and they didn't re-seed either.... And overwintering them in the house was only semi-successful due to outbreak of the yellow milkweed aphids. So I don't think I'll try to grow them every year unless I have room in the seed starting operation.