Milestone markers aren't used in Azure Boards work tracking, except for Delivery Plans. Delivery Plans provide a calendar view and allow you to define a milestone marker. For more information, see Review team Delivery Plans.
However, you can use one or more of the following options to mark a work item as a milestone:
Prepend or append the word Milestone in the title of your work item
Add a work item tag labeled Milestone
Add a custom field labeled Milestone and populate it with a pick list of milestones
Link work items using the Predecessor/Successor or Related link type to a milestone work item
Assign the milestone work item to the sprint in which it's targeted for completion.