Good question. Milling around/about refers to the movements of a crowd within a specific place or area, so the movement of the group looks very confused or disorderly. It usually refers to the actions of a group of people moving about in one area, or a person amongst other people moving about in one area. To wander means to walk or stroll in a leisurely way, and this action isn't really confined to a specific place or area. You can think of the act of wandering as being much freer than the act of milling about.
Ex: The group of concert goers milled about, waiting for the show to start.
Ex: I arrived at the meeting location early, so I wandered along the streets while waiting.