Milly joined the group of wannabe vampires because he thought it would make him strong. He was a small, cowardly young man who was destined to be either ignored or insulted by other people. If he could become a vampire, however, it would change everything.
Joining Les Enfents du Sang, of course, changed nothing. He was still a low man, an errand boy, and he was unlucky enough to be sent by the group to capture Tulip, a woman they believed they could use to put leverage on Cassidy. By threatening her, they thought they could force Cassidy to turn them all into vampires.
Milly discovered the flaw in their plan very quickly - Tulip was far from helpless, and wasn't about the let Les Enfents use her for anything. She killed the other two sent to take her, and forced Milly to lead her to the lair of his group. Once there, she got into a firefight with other members. Milly was among the wounded, being shot in the leg. His current whereabouts are unknown.