Hi Andrsn, welcome to the site!

You bring up a good question – one that we will indeed explore if we ever re-launch the podcasts (they are on hold for now). 

Light milling can be done on a drill press, but generally it's better to use a mill. Rigidity is an issue, round columns are another issue, but perhaps the biggest issue is the way a drill chuck is set up. The taper on a drill chuck is very short and can't handle a lot of lateral force. So if you start to try to mill with one it's possible for the chuck to come loose, damaging the drill press, the part, and possibly even the operator. None of which is a good thing. 

But you're right, a lot of people (including me) try it, and many are successful. But if you're going to be doing a lot of milling, or precise milling, you'd do well to invest in a square column mill. Even a used, worn out mill would probably give you better, more accurate, and safer results than a drill press. 

Just my two cents. But good question. It's one I asked when I first started out … after having poor results using my drill press as a mill.