The incident with the milk can be found at the very end of Chapter Two, which opens with the death of Major and details the animals's capture of the farm. At this point in the book, we see the pigs simplifying the tenets of Animalism down to seven core principles. The animals on the farm are, for the most part, highly enthusiastic and optimistic about the future. This entire chapter is characterized by this sense of optimism, one which is then undercut by the image on which it ends. The pigs entreat the other animals to focus on the harvest, while the milk goes missing in the meantime. Thus, Orwell concludes this chapter on a very cynical note. He is suggesting that the farm's reality, as well as its future, will not reflect the utopian idealism of Major's vision.
The next chapter builds on this theme when the animals learn that the pigs took the milk. Here, the pigs employ propaganda to defend what is a betrayal of animalist principles. They claim to have taken the milk out of pragmatic necessity, as the intellectual leaders and organizers of the farm. Thus, we see the pigs already claiming special privileges for themselves, and utilizing these tools of rhetoric and propaganda to justify these abuses. These themes will become critical as Animal Farm continues.