Immortality is Milt's secret
If you watched the last (and perhaps final) episode, it's absolutely clear that they were beginning to leak Milt's true secret to us.
SPOILER AHEAD... Satan's calling card music accompanies Wilts disintegation in a car bomb. He then walks up, unscathed. Episode concludes with him taking a bullet through the heart, and him laughing out "I know", to his partner's weak assurance that he woul make it. Satan's anthem starts up agin, in confirmation. Milt is immortal, but not in a happy way. He bargained at some point with the taker of souls, and greviously lost.
Remember who the truly genius Producer is, truly ponder the evidence, before you toss this theory. This show could have REALLY gone places, had they allowed us this glimpse just a little earlier.