I think, if it were me, I would take Milla from just before the 'leg incident'. Near end-game would work too, I guess, but... I don't know, I don't think such a late canon point would benefit her, aside from having a bit more knowledge about things. Knowledge that isn't relevant because she doesn't have canonmates anyway. She could always be canon updated later.
And anyway, considering we've had characters from early in canon before, I don't see why it should be a problem for this one. For example, just look at that Presea we had a while ago, who didn't have a Keycrest yet. It led to some great interactions.
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I think, if it were me, I would take Milla from just before the 'leg incident'. Near end-game would work too, I guess, but... I don't know, I don't think such a late canon point would benefit her, aside from having a bit more knowledge about things. Knowledge that isn't relevant because she doesn't have canonmates anyway. She could always be canon updated later.
And anyway, considering we've had characters from early in canon before, I don't see why it should be a problem for this one. For example, just look at that Presea we had a while ago, who didn't have a Keycrest yet. It led to some great interactions.