Steel Cut Oats: cooking in milk vs. water
Yes, this is possible. From my childhood experience, oats were always cooked in milk, never in water. I can't tell you specifics of how to do it, because it was my mother and grandmothers who made them. 

But based on the behavior of other grains cooked in milk, from complete kernels to flours, I don't think that you need to make any changes as compared to cooking in water. Take for example polenta - both the ratio and the method stay the same for cooking in water vs. milk. The resulting product is creamier and tastier. For oats, it is also slightly slimy (but not unpleasant), I don't know if this happens with water. 

As for water absorption, some grains do well if soaked before cooking, others don't need it. This shouldn't change in the milk vs. water scenario. 

The comments mention burning the milk. It never happened with my mother's oats and I am sure she did it on a stove, not in a slow cooker. Obviously, you want it to simmer, not boil. I assume that this is how you do it in water too, but if you don't, change your method for the milk, or you'll have a disaster on your hands. The mix may need stirring while it simmers, but maybe you can do it without stirring too, polenta in milk does not need it if you don't turn your burner too high.