A splash is water-like in consistancy and frequently contains alcohol and possibly witch hazel depending on the maker. A milk is, well more like the consistancy of milk or half n half. Differing results are obtained depending on your personal preferance and skin needs. We have different recipes within splashes and also milks. (I am sure they are not the same as commercial offerings but that is my point of referance.)
It helps to familiarize yourself with ingredients and how each will benefit (or not) your skin. When you find a product that works well for you, keep those ingredients in mind and the same applies if a product has an adverse effect. Read your labels.
Know your skin type and purchase within that group of products for best results. If you already have oily skin, don't buy a highly emollient product for dry skin. (yes, that happens)
Hope this helps.
Sue
+1 Sue knows her stuff.