Millard is really embarrassed by this, but back when he was visible he was pretty vain; his mother would constantly put him and his brother into beautiful child pageants. As the young child he was, he was obsessed with outer beauty and looking good. When he started disappearing, he understandably freaked out (wouldn't you if your body was disappearing?) and ran away.

He never mentions this part of his life because when he thinks about it, it's shame-cringe city.