It is possible they were told to take taxis though, based on that interview about being told to use one customs entry over another.
I ran back the first of the program. They open the clues at Los Alamitos and it says to fly to Zurich or Milan and nothing else. When the famous lines are crossing the USA and Europe to Zurich and Milan, Phil says that they are to take trains to Locarno. Nothing is said about taxis and nothing is shown on the program with them in taxis. All you see is them running out of the airport and then running to the train station. When Jennifer/Preston find the "train station" it is the one in Chiasso, Switzerland. That border crossing at the southern end of Lake Como is very congested. In the GE shot, traffic on the Italian side of the highway is backed way up. It may have been suggested in the added on instructions about getting there by taxi, but I think that they were being told, was to go to the train station to clear customs and not on the highway (autostrade) customs.
I found this about Malpensa International Airport from Wikipedia.Org.
"Milano Malpensa Airport (IATA: MXP, ICAO: LIMC), former "Aeroporto Cittŗ di Busto Arsizio"  is located in the province of Varese, about 50 km from central Milan, Italy. It is one of 3 international airports in the Milan area. The airport is connected to Milan by the Milano-Varese highway as well as by the "Malpensa Express" train starting from the Milan Cadorna railway station (LeNord regional railways) and taking about 40 minutes."
Malpensa Airport is only about 40-50 miles from Locarno, as the crow flies. From what Preston described in the RFf interview, they went the 50 km to downtown Milan, then 50 km back north to Como-Chiasso border crossing. Think if it as the two long sides of a piece of pizza, with the airport and Como at the outer edges of crust. If they had just driven straight across, they would have saved a lot of time and money I suspect. I followed the railroad and highway from Malpensa to Saronne (I think that is how it is spelled), then to Como. I think the Italian taxis just wanted a larger fare and probably took them the long way around.
From what Preston said in the interview, all 5 teams that flew to Milano, took taxis.