I am biased against milk because I can't digest it.....buuuuuut.....
On a restricted calorie diet, I would cut dairy out pretty quickly as lactose (milk sugar) isn't the greatest carb source (and when you're leaning out, you want the most bang for your buck so to speak). I think it's somewhere between sucrose and fructose on the GI index (it's a simple carb).....although it isn't likely you are pounding back a gallon at a time, so the glycemic load will be low.
Glycemic load considers the AMOUNT of a carb being eaten in one sitting, and not just it's GI value - for instance, the glycemic load of a SMALL amount of HIGH GI carbs can be lower than a HIGH amount of LOW GI carbs - e.g., one teaspoon of sugar will have less impact on insulin than a huge bowl of oatmeal, despite the first being simple carbs, and the latter being complex.
Long story short, if your total daily calories are in check, and you are not lactose intolerant - a cup or two of milk with your shake isn't going to stop your fat loss.