The milling column is the same part as on the Model 5000 milling machine. Sherline even sells the milling machine base without the column, so that people who bought the milling column can later upgrade it to a stand alone mill.
Used on the lathe it will not be as good as one of the Sherline mills, but it is a better milling set up than a lot of the combo mills, or milling accessories, size and mass aside (better design than something like a Smithy but a Smithy is a lot bigger which does give it an advantage).
If you are familiar with the Unimat lathe / mills, the milling column basically turns the Sherline into a similar little combo machine.
I Have a Sherline 4400 lathe and a 5400 mill, but I bought the mill when I found I had a use, I skipped over the milling column. I am happy with the mill, but at $180 vs $1000 I totally get why the milling column is an option.
That said I wouldn't spend much money on upgrading a converted lathe / mill, as that quickly gets to a point where you may as well get one of the mills. I thought that they used to offer the mills without a headstock the way the do the lathes, but not seeing that option on their website.
Edit, figured it out, you can buy the column and the base to give you a mill without the headstock, that gets the price of a mill down to around $500, but you have to swap the head between the lathe and mill.