If you look at the dog milk sold in pet shops/supermarkets, the main ingrediend is goats milk so I guess it must be ok.
My terrier cant seem to get on with milk at all. Apparently they produce an enzyme to digest it while feeding from mum. When they stop feeding, the enzyme is no longer produced unless you continue to give them milk. I can only assume that because Heidi hasnt always had milk, she no longer produces the enzyme.