This is the back end of the Chiesa di San Fedele, a 16th century Jesuit church which contains a crypt and a collection of paintings & relics.
The front of the church is at the Piazza San Fedele, 4. We're looking at this from the Via Adalberto Catena, which sits between the Outlet shop that we'll see in the next shots, and the Teatro della Scala (which I believe that we'll encounter later).
This is but one of several things that we missed as we were wandering around. The Palazzo della Banca Commerciale Italiana, which was just down the street to the left. The 16th Century Palazzo Marino, which is just across the street from there. The Palazzo Belgioioso, down the street to the right. The Casa museo del Manzoni which is down the street to the left from that. Arnaldo Pomodoro's disc sculpture, which is in the Piazza Meda, a park of which a small fragment can be seen in image 1822.
We were in fact heading for the Quadrilatero della moda, the upmarket shopping zone of Milano before heading to the artistic Brera district. In reality we only skirted the first zone, coming across one fashion warehouse on its edge.
We spent a day and a bit in Milano on the 2016 trip, and passed through it multiple times on the 2019 one. However I don't feel that I've (or indeed we've) ever actually come to know and understand Milano, to the extent that it can be by a non-Milanese.