Babies are often in adults' (females of course) dung. It gives them protection, they're in a cell. If you want to have babies, keep the substrate, I know people that didn't change substrate for 3 years and their millipedes are fine. They like to be in that environment.
Millipedes can secrete a defencive substance (mostly composed of hydrogen cianide), which stain skin (and clothes!) and hurt alot if in the eyes, it does something when it goes in the mouth but don't count on me to try and tell you what it does

It is better to wash your hands after handling a millipede, and they do bite, as they try to eat whatever they see. It sometimes does nothing, sometimes it hurts a bit, when they get a good portion of skin to bite.
Frank