Is there any advantage to have a dedicated hole to measure milliamperes on a multimeter?
Meters are often left connected to voltage sources for purposes of monitoring them.  Further, they often use the same knob for both mode selection and power on/off.  If a meter uses the same knob to turn the meter on and off and control the mode, it may be very easy for someone turning the knob to accidentally turn it to a current-measurement mode while it is connected to a voltage source.  Doing this will effectively short out the supply, putting as much current as it can source through the meter.  Not good.

Accidentally switching the meter to a resistance-measurement mode could pose similar risks if the meter is connected to a particularly large voltage, but it's easier to protect resistance-measurement circuitry against moderate overvoltage than it is to protect current-measurement circuitry against severe overcurrent.

Using a separate connection for current measurement means that turning the knob to a current-measurement mode while a probe is connected to a voltage source (and fed to the voltage-input jack) will likely yield either a meaningless number or an error display, but will not allow massive amounts of current to flow through the meter.  In some cases, it may also offer the benefit of allowing the meter to pass through current any time the current-measurement input is used, even when the power switch is "off", thus allowing a device under test to be left powered on without wasting out the meter's battery at times when nobody cares about its measurements.