In my mind, the main idea, why ClickHouse does not support milliseconds in DateTime is worse compression.
Long story short: use DateTime and precession by seconds. If you want to store milliseconds, you can go ahead with two ways:
Store milliseconds separately, so you will have a DateTime with your date, that you could use in all possible DateTime functions, as well as primary keys. And put milliseconds part in separate column with type UInt16. You have to prepare data separately before storing. Depends on what language do you use for preprocess data before storing, it could be different ways to do it. In golang it could be done:
time.Now().UnixNano() / 1e6 % 1e3
Another way, is to store whole as timestamp. This means you should convert your date to unix timestamp with milliseconds by your own and put it into ClickHouse as Uint64. It also depends on what do you use for preparing inserts. For golang it could like:
time.Now().UnixNano() / 1e6