Short answer, you should be ok.
If the coconut milk has a lot of natural oil in it, then when you add the lye to it then those oils will begin to saponify. This will thicken the solution. No problem unless your SF% is really high overall, then you may not saponify your other oils as much you expected.
I use liquid milk (goat, coconut, almond, oat, etc.) rarely, so am looking forward to hearing what others have to say.