Way back, so far back we forgot who did it, somebody stole baby food from a bunch of different mammaries and cows were chosen. Probably because they were the safest. The lions resisted too much.
I believe Mongolians still consume mares milk.
Again a matter of production. You can try and milk the studs if you want, but low yield, taste, and difficulty in getting him to stop following you around once you've done it, well, it's just not feasible.