Why is drinking Espresso in the afternoon fine, while milk coffee is not? I have often heard and seen, especially in Italy, recommendations to avoid coffee with milk like Latte or Cappuccino in the afternoon, while Espresso is widely consumed during this time of day. 

What is the reason for this? Why would one avoid milk-based coffee drinks during the afternoon?
It is a cultural issue, not a health one.

Traditionally, rich, big coffee drinks like a cappuccino are drunk in the morning in Italy with breakfast whereas espresso is what is drunk in the afternoon. The reasoning for this is that you can take your time and savor a cappuccino in the morning because presumably you are not at work yet, but in the afternoon you are just in and out for a quick energy infusion on a 15 minute break and you don't have the time to drink anything but a shot or two of espresso. 

In America people tend to do just the opposite or just drink what they want, when they want which can lead to some judgement when visiting Italy.