I was told by my mother in law that this was popular in the UK specially during and after the war (WW2). Like us in the Philippines, they did not know what to do with all the skimmed milk so they made it into candies. I made this using skimmed milk I got from Sainsburys for £1.25, a can of condensed milk, some dessicated coconut and sprinkle of white sugar afterwards. I just mixed them together until they can be rolled without melting. I added the sugar last.
For less than £3 I have several rolls of milk candy this summer that I am happy to give to my children. Unlike the candies we find in shop, these taste more milk than sugar.