Seems to be a bit more complicated than that @fernly . There is some evidence that suggests that dairy may inhibit the uptake of certain nutrients, like antioxidants in tea and berries. Meaning that if you mix Jake with milk, not all the vitamins and/or minerals may be absorbed. This is most likely the case with magnesium, as there's a lot of calcium in milk and magnesium and calcium affect each other.
I'd go for Jake + water just to be sure. There are so many nutrients in Jake already that I don't want to mess it up with another nutrient dense food/drink like milk. But then I sometimes mix it with coffee because I like the taste.