I dont really know about the milk, i've never been a milk drinker due to the lactose, but I do drink a lot of protien shakes that are just powder and water. Or an old trick is to mix your shakes using light cream, it is a good source of fat, and it tastes so good. As ross said, fats slow the digestion of protien, and they slow carbs too, so it could be a good thing to add in. I wouldnt over due it with them though, it will be a lot of cals, so make sure to adjust your total macros to make up for it.
Can you give us a break down of what your ppwo shake looks like. I have never done a ppwo shake, I just hit my pwo shake, and then a meal afterward. My meal is usually an hour and a half to two hours before bed, and it usually has a small amount of low gi carbs.
I don't do this for my family, my friends, women, accolades, pride, or ego. I do it for me and no one else, its just part of who I am.