Hey Simon,
So in our case we're planning on adding milestones directly to a project, for things like VIP deliveries, and not to a task or shot. Your above comment regarding "relevant milestones should show up automatically users" doesn't seem to work which I'm guessing is kind of self explanatory as the "relevant" part is dependent on people being assigned to task.
So yes it would be awesome if it could be added as a feature request. Especially the teams part as I would think a milestone attached to a project should default to show up for everyone working on that project.