There is nothing wrong with road side milkweed. Just make sure you have a safe place to park and a safe place to collect where you won't get hit by cars. There are several places I would love to collect from, but there is no safety zone from cars so I have not used those spots as of yet. Safety aside, the limiting factor on the road side stuff would be the amount of water the plants receive... those that get plenty of water are much nicer quality. Those in areas that don't get a lot of water tend to be scraggly and yellowed leaves. I don't mess with those. For some, poison ivy would also be a limiting factor (PI likes roadside spots too) but I personally just don't care. I tend to be pretty resistant to the stuff so don't mind walking in it if need be.
Plants growing in heavy shade tend to not have eggs or cats compared to spots where the plants are in full sun or get afternoon sun. I prefer to strip shade grown plants for food since I usually don't have to deal with a lot of extra mouths to feed as a result of collecting.