The Millbrae station is a gigantic clusterfuck and is best ignored.

BART's kind of remedied the situation, but for a while their operational costs were so high that there was no direct SFO-Millbrae service during the day. You had to backtrack all the way to San Bruno. By 2019 there was a "shuttle", and now the red (but not yellow!) line serves SFO and Millbrae.

In addition the Caltrain/BART connection at Millbrae requires a lot of walking. It's tedious and poorly designed.