My experience of lathe milling was disappointing. It's not so bad I'd dismiss doing it out of hand, but it's pretty poo compared with a proper milling machine.
Holding the milling cutter in a 3-jaw lathe chuck will be the least of the problems encountered. Lathes aren't designed to deal with milling forces on the cross-slide, so the whole shebang lacks rigidity and lack of travel limits the size of job that can be tackled. And even with a proper milling slide, work-holding is cramped and awkward.
However, it can be done. In practice I didn't have a problem with cutters pulling out of the lathe 3-jaw, but that might be because lack of rigidity restricted my depth of cut so much that the chuck wasn't tested severely. An MT spindle mounted Jacobs chuck sort of worked, but I felt it lacked beef. Bad option compared with the lathe chuck.
I also bought a couple of 6 & 10mm MT milling tool holders to fit direct into the lathe spindle and made a drawbar out of studding. Less run-out than the 3 jaw, but otherwise lack of cross-slide rigidity meant the cut-rate couldn't be increased.
I experimented on a mini-lathe. Necessary to have the gibs extra tight. The same sized job would have been more successful on a heavier machine, but the bottom line is lathes aren't good at milling. But hey ho, any port in a storm!
Dave
Edited By SillyOldDuffer on 14/03/2020 18:09:53