The mill direct drive pin and detent is different on the mill from what it is on the 10" and 12" lathes. On the three model groups of lathes, the hole from the outside is deeper and not threaded. The spring goes into the hole first, followed by a ball-nose pin. A tool is inserted into the hole to press the pin down, compressing the spring. The direct drive pin is inserted in the hole while inverted, the tool is jerked out while pushing on the direct drive pin. Then with the direct drive pin in the direct drive orientation, the direct drive pin is rotated 180 degrees, allowing the ball-nosed pin to seat into one of the detent holes.
On the mill, everything is inverted. To assemble it, one would first insert the direct drive pin into the hole for it in the face of the gear, pushing it on into the mating hole in the face of the pulley. Instead of a ball-nosed pin, it uses a ball. The ball is dropped into the tapped hole in the gear, followed by the spring, followed by the screw. So what I would suggest that you do if the direct drive pin doesn't move freely using the tool that you made. If it does, of course, you don't need to do anything else other than engage Back Gear.
If not, first remove the set screw. Then use a small hook to remove the spring. And finally a magnet to remove the ball. If the direct drive pin still doesn't move, fill the hole with penetrating oil and try it again tomorrow.