E.T.
You indicate you give him milk, but don't say it is nursing, so I am assuming it is just a drink.
I would leave him a bottle or glass of water (which doesn't need refrigeration and is less enticing than milk), in case he is thirsty. If he wakes during the night, soothe him and offer him the water. If he is used to milk, you may want to slowly dillute it to avoid a fight.
I know that I get thirsty at night, so I wouldn't want him to be thirsty, but he doesn't need milk and it is no good for his teeth.
As for your daughter, she is probably scared of being on her own. Have you tried a night light or a stuffed animal? I think you may need to enlist Grandma in this. Have Grandma bring her back to her room, check for monsters in the closet and under the bed and tell her it is safe and put her back in bed. Some people have gotten some mileage from spraying "monster repellant" (perfume or Febreeze). The main point is she should be brought back to her room, reassured and put back to bed.