Really the answer to this lies in what you want from your protein powder? If you want a protein as a base for adding carbs, fats too, then why not? If you want a product to use simply as a low carb protein source, then probably not a good idea. If you handle milk O.k and wish to gain weight, go for it!
Milk proteins are great, the carbs, not so much.
Most protein powders contain pure, extracted versions of milk proteins. Some companies, the better ones, may even go to great lengths to ensure that their products contain specific ratios of various protein types, amino acids etc to ensure optimal digestibility, usability. Mixing such products with milk could compromise this obviousley, however, in actuality the difference it will likely make is pretty small.
If you dont handle lactose too well then the irritation that ingesting the lactose could cause may affect digestion absorption of the proteins.
If milk is derived from a grass fed cow, then the fats will be pretty good too.