Just realized Mil-Tan is a dead ringer for the Water Sprite in the Anime. Could it be that the reason he wants to be a magical girl is that Mil-Tan is a female human-sprite hybrid? I know the artwork displayed a prominent bulge, but that could be explained away as a false penis like the false penis that female hyenas have... wouldn't be the strangest thing in DxD universe.
Anyway, from the way he resisted Serafall Leviathan's power and battled witches, I'm guessing Mil-Tan has got to be something other than human.
Being re-incarnated sure would solve the Magical Girl Dilema if Mil-Tan is already plumbed. Then the Devil's ability to change appearance would be just what She needs.
I think I read on another post here that Serafall was considering him/her for a rook?