I too find the H sound of Hugo a little odd (prefer the H of Hug or Harold), but then Hug-o doesn't sound good either imo.
Milo is malted chocolate drink and Felix is a well known brand of cat food, which may or may not bother you.
But I wouldn't think there was anything teaseworth about these names, certainly not more than with name like William (e.g. Willy) for example - in fact most names can be teased with a little imagination.