First off, welcome to the forums!
To answer your question, I am not sure anyone knows for sure yet (as it would require someone to deliberately try to scratch their watch). Apple does list the new graphite Milanese loop as being PVD coated rather than DLC like the graphite watch body. However (and this is big however), it is not uncommon for Apple’s site to have missing/incorrect information right around the time of a product launch. Apple doesn’t list any of the stainless/Ti watches as having a sapphire screen this year even though they do, and does not mention that the space black Ti watch also has a DLC coating. So, it is not clear yet whether the graphite Milanese is PVD or if it uses the same DLC as the watch itself.
If the band is PVD, it probably won’t be a scratch risk. My wife has a gold stainless S4, which is PVD, and her Milanese loop has never scratched the watch. If the graphite Milanese turns out to be DLC, I would treat it as the same level of scratch risk as the old space black Milanese.