Milk has many uses in making bread. It provides liquid to the dough, just as water would. It adds flavor to the bread. If you are using any milk but skimmed milk, it adds fat to the dough, which extends the bread's shelf life. It also adds lactose, a milk sugar, to the dough. Lactose can not be digested by yeast or sourdough bacteria, so the sugar remains in the dough. This adds some sweetness to the bread that will not be fermented out. It also insures that there will be enough sugar in the bread that it will brown when it is toasted. Many lean breads (bread with no added sugars or fats) do not change color when toasted, at least not until they are burned.
Milk also contains some enzymes which can interfere with a dough's rise. If you find a dough with milk doesn't rise as much as you'd like, you might try gently boiling the milk for a few minutes. Pasteurization does not damage these enzymes, so a slightly longer boil is needed. King Arthur, among others, sells a special powdered milk that does not have the enzymes.
Whether milk is beneficial to a bread depends on the style of the bread. If the milk is called for by the bread's style, including the milk is a very good thing.
Many vegans and lactose sensitive people ask if non-dairy milks can be substituted for dairy milk. In general, the answer is yes, however, it will work best if you use the least flavored milk available - many almond, rice or soy milks are flavored.