Milk does not get burnt when microwaved, if the milk is still very fluid. Impossible to get burnt.
It is the coffee beans that can be possibly burnt by microwave.
Food gets heated or cooked by the micro-wave radiation inducing resonant vibration in the molecules of materials. When molecules vibrate they get hot.
The most susceptible radicals in molecules of our food are the -OH radicals.
Water being H2O, i.e. H-O-H, is almost the target of microwave inventor/manufacturers to induce that vibration.
However, oils also have that significant -OH radical. Oils have a significantly higher boiling point than water. Some oils can sustain up to 450 deg F without their -OH radicals breaking down. Hence, microwave oven manufacturers caution you against deep-frying in a microwave oven. You could possibly cause a fire.
There are other radicals that are also susceptible to being vibrated by microwave. For example polymer bonds in melamine-ware.
Coffee beans has oils. Imagine subjecting your coffee beans to 450 deg F. And if the -OH bonds do break down, the oil is burnt. If not the high temperature would be roasting the kernel material.
Even if you placed the beans into the milk to microwave it, the water in the milk will be unable to permeate the beans as deep as the microwave could. Therefore, you could be roasting the internals of the beans at high temperatures without being able to be cooled down by the surrounding water.
Not being a coffee connoisseur, I request that you explore soaking the coffee beans in hot milk or water for a couple of hours to soften the kernel of the bean and allow water to permeate into the bean before microwaving the beans with the milk.