no. it tastes far better, and provides you with the slower releasing caesin protein.
studies have proven taking fast release protein (whey) and slow release protein (caesin) together to be very beneficial.
it's delivery is VERY SLIGHTLY less efficient with milk but not enough to make too big a difference
therewill also be more calories - but if you are trying to gain - this is good.
another option is to mix it with whipping cream. this is because it has no carbs which may be beneficial depending on your diet.