People are just people, and everyone will swear up and down that their specific method is the absolute gold standard. Honestly, if you mix your whey with milk versus water, the actual difference in results is probably going to be around 5%—give or take, and I might be exaggerating a bit there, so don't quote me on that. Most bodybuilders tend to avoid milk, which means they often overlook the fact that dairy can actually nudge your body toward releasing growth hormones. Because of that, even though the protein content in milk is mostly slow-digesting casein, it remains an incredibly potent tool for building muscle mass.
The bottom line is this: if you prefer your whey with water, stick to water; if you like it with milk, go with milk. People these days spend way too much time nitpicking over tiny details and wasting energy on problems that don't really matter. Just hit the gym, drink your whey, and stop overthinking it.