why does the milling machine require FR4 material
All milling machines have a range of materials that can be used.  You probably wouldn't expect this machine to mill steel, and you certainly wouldn't expect it to mill diamond!  

FR4 is a glass-reinforced epoxy resin; it has certain mechanical properties for which the mill is designed.  FR4 is by far the most common PCB material, so this is a reasonable design decision for this special-purpose mill.

It's probably capable of milling similar materials, but it's sensible to limit this without further consultation.  You should be wary of milling other PCB materials that aren't designed to be similar to FR4, many employ ceramics which will be hard on the bits or plastics like Teflon which will melt.  Alternatively, you might be interested in building aluminum PCBs for thermal applications, but I've never heard of milling these and it would probably be extremely easy to short traces out to the substrate.