Milled wouldn't be necessary for an FDM printer. It would be if you had something sliding on the extrusion.
Adding some additional input to help people avoid an issue that I just ran into. When ordering the 2020, make sure it's NUT 6 (not 5) otherwise it'll be a pain to find t-nuts. I ordered mine from McMaster-Carr, and didn't realize that all of the 2020 extrusions there are 5mm slots (not 6). The bed plate mounts that call for M5x10 button heads into M5x2020 T-nuts (which don't fit into the 5mm slots).
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