Yeah I suppose that makes sense with milling machines. When I read the OP's comment I was thinking he was referring to grinding machines.
I always wear my TIG gloves when operating grinders and was glad I do a while back when my hand made contact with the wheel: what would have been a nasty and painful gash ended up being a scuff mark on my glove.
But that raises another question: Why on earth would your hand be anywhere near the head of an operating milling machine?
EDIT: Thinking about this more, we might have different concepts of "glove." TIG gloves are thin, tight-fitting, and leather.
They also have a "gauntlet type" cut that extends up your forearms and over your sleeves. I don't think they'd be any more likely to catch a machine part than your skin would, and I think they'd actually reduce the chance that a sleeve gets caught.
OTOH, it makes sense that the thick, heavy fabric gloves that are used for MIG or stick would make your hands more clumsy and prone to getting caught in machines. I agree that those are probably pretty dangerous.