At a hackspace I frequently attend, there is a milling machine called the Roland Modela MDX-20 Desktop Miller. We use this milling machine to make pcbs however the technician there stresses we must use FR4 material on the miller why? What so special about FR4?
At first sight this is a strange recommendation, as FR4 wears out tools quickly. However, older PCB materials like Pertinax (FR2) are more fragile, and I guess the bit will splinter them.
Or he may mean not to use the mill for other materials than PCBs. Steel or aluminium for instance require a different milling speed.
Like Nick says, ask the man. If he tells you not to use the machine on anything but FR4, at least he himself should know why. Report back here when you find out.
All milling machines have a range of materials that can be used. You probably wouldn't expect this machine to mill steel, and you certainly wouldn't expect it to mill diamond!
FR4 is a glass-reinforced epoxy resin; it has certain mechanical properties for which the mill is designed. FR4 is by far the most common PCB material, so this is a reasonable design decision for this special-purpose mill.
It's probably capable of milling similar materials, but it's sensible to limit this without further consultation. You should be wary of milling other PCB materials that aren't designed to be similar to FR4, many employ ceramics which will be hard on the bits or plastics like Teflon which will melt. Alternatively, you might be interested in building aluminum PCBs for thermal applications, but I've never heard of milling these and it would probably be extremely easy to short traces out to the substrate.