Yep. I'd never had a milk stout before, knew it was gonna be on the sweetish side but I still expected some of the coffee / toasty taste that I think of when I drink a stout. Live and learn.
Sheaf Stout is a good, cheap, example of a milk stout. I too found the Left Hand Nitro Milk Stout underwhelming but I'm not always big into nitro beers.