T.F.
If I fell asleep in one place and woke up in a different place I'd probably wake up screaming, too. If he is "scared" of falling asleep in his bed, then it makes a lot of sense that it would be a frightening experience to wake up there when he KNOWS he fell asleep on the couch. My son and I have established a routine where my husband puts him in his bed and says prayers with him, then I go in and we sing itsy-bitsy spider with several versions we made up. Once we're done with the last verse (it's the same 5 verses every night), I tell him what we're going to do the next day, then I cover him up and tell him I'll be right back. I tell him I'm going to put my PJs on, but you can tell him you are going to wash dishes or do laundry or something else that's boring. I really do go back in to see him after a few minutes because I told him I'd be right back. When you start this, you have to go back in after only a minute or 2 because he will lay there wondering if you really are going to come right back. But now I wait like 10-15 minutes and then go in and check on him. Sometimes he is already asleep and sometimes he was just laying there waiting for me and I get the BIGGEST smile that I kept my promise and went in to see him. I just pretend to straighten out his covers, then either tell him good-night or tell him I'll be right back, depending on how sleepy he is. He has tried stalling several times by saying he is scared or he doesn't want me to close the door, but I insist that he's OK and that I'll be right back.
By the way, you said you get his milk ready. Why does he need a drink right before he goes to sleep??? Sometimes I will let my son have a sip of water before bed at night, but I don't see a need for a full drink right before going to sleep. It's not like when he was a baby and needed a bottle of formula or breast milk for nourishment. Just my 2 cents, but that sounds like another habit that you may want to think about breaking, especially since you'll want him to be dry at night when he's potty trained.