I am not in the habit of soaking grains so your question was an interesting one for me to investigate. Whole grains are wonderful in flavor and I'm glad you are using those such as millet.

Soaking is not necessary but it does appear to make it easier to digest and breaks down the phytic acid that blocks absorption of some nutrients. See this article from Food and Nutrition Magazine for more information.

Soaked Millet: Add 1 cup millet to 2 cups warm water with 2 TB acid (lemon juice, apple cider vinegar, yogurt, etc), soak 7-8 hours; add salt if desired and simmer for 10-15 minutes. Check to see if done, may take more or less time, soaked grains have shorter cooking time.