The key is sexual reproduction. You're not selecting for a single trait at a time, you're selecting for all of them. Yes, the ability to digest milk as an adult

The key is sexual reproduction. You're not selecting for a single trait at a time, you're selecting for all of them. Yes, the ability to digest milk as an adult was unlikely to have contributed to the reproductive success of the very first individual it arose in. But it didn't need to; it only had to not prevent reproductive success. Over a few generations the gene spread to dozens, then hundreds of individuals, sheerly from being along for the ride. At that point, statistics can begin to take over - even a tiny advantage will gain a foothold if given enough people to prove itself over.