When you set up the input coordinate system, see if you can find Monte_Mario_Italy_1. The one you used assumes that the geographic coordsys and projection parameters are relative to the Rome prime meridian (origin of longitude values) rather than Greenwich. So, "GCS_Monte_Mario_Rome" has a prime meridian set to Rome, while "GCS_Monte_Mario" is using the Greenwich prime meridian. The transformations will be similar (look for Monte_Mario, not Monte_Mario_Rome.
Even so, you should be able to set two transformations (monte mario rome to monte mario, then monte mario to wgs84) if you set one on step 2 and step 3. However, you have to go to step 3 to set the output coordinate system, then go back to step 2 to set the first transformation (monte mario rome to monte mario).