Keep in mind this is a new guy. I doubt he is looking at buying
a CNC mill or tons of tooling to make a mill do the work of a lathe.


Threading is definitely possible on a mill, just not with a single point
tool like on a lathe. Tapping heads for mills are a common item and many
CNC mills support rigid tapping. That takes care of internal threading,
external threading is less common on a mill, but can be done to a
limited extent for smaller parts using a suitable die stock, or on a CNC
mill via thread milling.

Conical parts can be done on a mill with a tilting rotary table although
it's far from an ideal way to do it.