Yes, its the sugars in the milk that causes it to overheat. Gelling will help your soap set a bit faster and give it a different look (not as creamy) but its not necessary and won't affect the end product. I prefer not to gel my soaps, less chance of something going wrong.
I did have a batch partial gel last night. Its kinda ugly but is only a visual flaw, soap is completely fine. To gel or not to gel is a personal preference, do what you like and works best for you.