Great insight found at the New Scientist:

It is a chicken and egg question – did mammals evolve nutritional milk before or after they abandoned yolky eggs?

“Milk was originally for egg wetting,” says Henrik Kaessman at the University of Lausanne in Switzerland. Instead of a hard shell, the first mammalian eggs had a parchment-like covering which mothers rolled in milk to prevent them drying out, he says.

Today, placental and marsupial mammals nourish their newborn young with milk containing a calcium-packed protein called casein.

Makes total sense to me.