Mine love goats milk......but with cows milk although some dogs have no problem digesting it, others will get diarrhoea as they cannot digest the lactose.
the theory behind not giving dogs (and cats) milk is that in the wild they would never have it after they were weaned. Having said that they would also not eat and drink a lot of things that we shove down their throats but that's another story.
We never give give our dogs milk, not for any particular reason though, I think it is probably just unnecessary (generally speaking) if we thought it was good for them they would get it.