I have used both but not in the same soap. Goat milk (I use fresh GM) makes for a very mild and skin soothing soap. Coconut milk (I use the one in a box...like a juice box..because it does not have any additives) makes for a very creamy and dense lather. I never gel my milk soaps. It keeps them lighter in color and prevents over heating. Milks have natural occuring sugars in them which could lead to overheating in combination with some FOs or EOs. I like to soap with everything at room temperature. I use half water to dissolve my lye and then after the lye goes into the oils and is stirred by spoon for a few minutes, I will add the milk. This takes a bit of the beast out of the lye and you are less likely to get that wet diaper smell from the lye hitting the milk. That smell can stink up the whole house.
