Twitter knew who Milo was, they'd verified his identity, and although he broke the rules, removing the checkmark told his followers one thing: "we now know anyone Twitter verifies is someone they agree with politically". This puts them on the hook for everybody who's verified.
It should be a verification only. If they didn't like what he said then they should've removed the account.
But i agree, in practice it's a "twitter endorses this account" indicator.
I'm positive Twitter would allow a mainstream-supporting liberal (i.e. someone who vocally supported Clinton or supports Buttigieg or Biden or Bloomberg) to slide on this, like any time someone would jokingly pretend they're part of Fox News. Stephen Colbert, if he had a Twitter account that was equivalent to his satirical character on his Comedy Central show, would be adored and absolutely allowed to get a nice fat bluecheck on his hypothetical Twitter.