I would try an enzyme cleaner like Nature's Miracle. Personally, I like a brand called Kids and Pets. It is great for removing urine and vomit odors from carpet. It would probably work good on leather, once the milk is entirely wiped up.
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How do I get rid of spoiled milk smell in upholstery?
I would try one of the enzyme soaks from the pet store (I like Natures Miracle) they get rid of vomit urine and feces, all organic, like milk. Remember to soak as deep as the milk went, and that it wont be smell free until it is completely dry (can be several days). Good luck.