Water has air dissolved in it. When you run the tap, the pressure that the water is under in the mains supply is suddenly reduced. This has the same effect as when you open a bottle of lemonade - bubbles appear. The milkiness is actually tiny bubbles which will disappear as you let the water stand.
Cold water is able to hold more air dissolved in it than hot water can, so you don't see this effect when you run the cold tap.
But when the water is heated in your combi boiler, it tries to release some of the air, but still being under pressure, it can't, until you turn on the hot tap
It's totally harmless.