The Rossoneri, last season's runners-up, sit just 15th in the fledging league table after suffering a second straight defeat on Sunday, while the Sardinian club were penalised with a mandatory 3-0 loss to Roma for defying league and authority orders concerning their new stadium.
Massimiliano Allegri's Milan are yet to score at home so far, registering their sole three-point haul at Bologna, with the pressure on the Diavolo coach growing heavier week by week.
But mercurial striker Stephan El Shaarawy, who scored a sensational long-ranger against Udinese at the weekend, has backed Allegri's project to click sooner rather than later.
He told acmilan.it: "I really think the performance was there in Udine.
"The spirit in which we approached the game was the right one and in the first half we had more opportunities than them but didn't put them away.
"What we need to do is become more clinical in front of goal and avoid losing concentration in defence.
"But I can see that we're working hard, we want to improve day by day and put everything right."
Milan's chances of success in Friuli were ultimately undone when Cristian Zapata and substitute Kevin-Prince Boateng were sent off - the latter's penalty concession allowing Antonio Di Natale to fire the winner.
"Prince came on and gave the squad a boost, but the two dismissals hurt us a lot," El Shaarawy added.
"I'm happy to have got my first goal of the season but I won't stop there.
"Cagliari? We're just concentrating on improving matters in house. We are growing in confidence.
"We know we are a strong squad that can do great things, so let's keep the faith going forward."
Zapata and Boateng join injured Robinho, Alexandre Pato, Daniele Bonera and Mathieu Flamini on a lengthy list of absentees for the Rossoneri.
It was certainly a surreal Sunday for Cagliari as president Massimo Cellino invoked the ire of both local Sardinian authorities and the Italian Football Federation (FIGC).
For the second time this season, the Rossoblu's new Is Arenas home was deemed unfit to welcome fans due to ongoing renovations, with the Cagliari Prefecture insisting the game against Roma was played behind closed doors.
But less than 24 hours before the game, Cellino issued a statement inviting season ticket holders to attend regardless, the Prefecture and league promptly cancelling the match and awarding a 3-0 walkover to the Eternal City outfit.
The chairman is yet to respond in public after his behaviour was branded "unacceptable" by FIGC president Giancarlo Abete, but his lawyer revealed the 56-year-old businessman is likely to appeal the heavy sanction.
Bologna-based Mattia Grassani told the Gazzetta dello Sport: "We're weighing up our options but the final decision rests with the president."