If a vet prescribed them, I wouldn't be concerned.
As I said, milk isn't poisonous, and some parts of the milk do provide some nutrition for a dog. It's just that dogs can't digest the lactose in the milk. I don't see how phospher would be a problem for the dog.
A little milk or cheese won't bother them. When my dog has needed to take a pill, which isn't easy because she's a very picky eater, I get a package of those cheese singles and bring them to room temp so they get really soft. Then I wrap the pill in the cheese in the hopes she won't just eat the cheese and spit out the pill.
It won't kill her, and under those circumstances, it's worth the benefit. Otherwise, I don't give her any dairy. Not because it's going to hurt her, but because there are plenty of other things you can feed a dog.
And walking on a leash is a learned behavior. Some dogs take to it easier than others. Be patient so that the dog learns to like it. Here's a link of training a dog to a leash
Introducing a Puppy to Walk on a Leash | Cesar Millan
Leash Training for Dogs - Train Your Dog to Walk on Leash
Pulling on Leash - Dog and Puppy Training
The key to training a dog is patience, making sure the dog is not rewarded for undesireable behavior, and making sure the dog is rewarded for wanted behavior.
Don't yank the leash, praise and treat him when he behaves. I also recommend not starting with one of the extension leashes (the ones with a lead on a reel that extends and retracts (see below)) They put a constant pressure on the leash. If your puppy gets used to it, it can encourage leash pulling