Yep. I recently tried this out with my cat: skim milk vs 2% vs whole milk vs heavy cream. No prizes for guessing what his preference ordering was. (He wouldn't even drink the skim! Just licked it, looked at me, and walked away.)
Yeah, and will give you that look too as he walks away...
My little chonk monster is actually pretty good with food, and isn't interested in human food much at all, possibly because he had to fend for himself for a few months before he imposed himself on me. He's certainly partial to the odd pigeon which are too slow/stupid to get away.
He currently has mostly dry kibble and water, but with the odd wet pouch for some variety.
I've tried him on a little milk before and he wasn't bothered, but I have semi-skimmed lacto-free, so I don't know if it offends his taste-buds or not.