It is never good practice to try to use a drilling-machine as a mill.
I have got away with cutting a single, short slot that did not need be accurate in 3mm PVC sheet, but would not dream of making a habit of it, nor of attempting to use a drill for better-quality milling in metal. In that case the work was on a rotary-table for holes on pitch-circles, but also allowed careful feed for the curved slot.
The chuck and bearings are designed for axial loads only.
The quill and spindle are unlikely to accommodate a draw-bar but might on some machines.
A milling-cutter held in a drill-chuck is likely to slip and act like a self-tapping screw in the work-piece and whatever is directly below it. I have had that happen even on a proper mill, once where I’d not fully assembled the cutter into an ‘Autolock’ chuck, but also with an R8 collet.
The lack of a quill lock is more nuisance than real loss, but a wooden block between the top of the chuck and the underside of the head may hold the quill in place enough to assist setting up the work; or when using a spring-drive tapping-guide. These are the point of the quill lock on a drilling-machine. Not as a depth-control for milling.