Millet grain is highly nutritious. It is a good source of protein, and if served with pulses (dried peas or beans) it makes a well balanced protein meal.
Another one of the benefits of millet is that it is a good source of magnesium, helpful for asthma sufferers and for those for whom migraines are a problem. Magnesium is also known to lower your blood pressure thereby reducing the risk of a heart attack.
On the same theme, millet is rich in phytochemicals, in particular Phytic acid, which is believed to be helpful in reducing cholesterol.
So, unless you have thyroid problems, learning how to cook millet is certainly worth while.
Millet, of course, is only one of the nutritious grains that you can use in your diet in place of wheat.