Ayurvedic seers of the past had great wisdom and no ingredient was included without a valid reason. The proteins and vitamins derived out of milk add to the nourishing value of the oil and enhance the effects of the herbs. Remember, this is not the milk from tormented, hormone-induced cows. This milk is taken from grass-fed, happy cows (who are, in fact, considered to be a sacred symbol of life in many parts of India! Read more here: Are your products cruelty-free?).
In the case of Ayurvedic oils, milk does not need preservation as it already gets cooked in the process of creating the oil. Milk is incorporated in the oil following a 'cooking' procedure laid down by the classical Ayurvedic texts and also laid down by the Ayurvedic Formulary of India, a Government of India, Ministry of Indian System of Medicine (AYUSH) publication. This laborious cooking procedure where everything goes through a 'process' of cleansing, cooking etc. is the real differentiator of Ayurvedic oils when compared to other oils.