Milo contains a rechargeable lithium battery, so you never have to change batteries, just recharge with the enclosed USB-to-USB-C cable.
The battery is integrated - that means you can't remove it. Same as your phone. That means the same rules apply to Milo as to your mobile phone when it comes to packing for plane travel. You should have no issues bringing Milos in your carry-on as long as they are powered off.
Fun fact: Milo actually charges faster if it's powered on while you're charging it. So you can keep using Milo while charging the battery from a portable power source.