Let me add here that there is no right way of eating any particular food item. This I learnt from observing different cultures and individuals. It comes as a personal preferance or a habit from the culture. Either way, it should be based on how the individual prefers. Cereals can be eaten as dry snacks too. It is something that I do too.so I am a bit suprised to hear the OP.
Generally kids are curious and experimental. What they come across with for the first time they play with that or do some experiment to satisfy their curiosity. In like manner, in eating if they are not supervised, they will do some weird things just to play with it. So as with the cereal and milk as you have mentioned. They should be taught the proper way of eating it so that when the parents are not around or looking at them the kids know what to do.
Kids love to try new things true, but to do it they need to have a certain level of autonomy. This is of course dangerous because they can make a big mess! So nothing like some guidance to make sure everything goes smoothly, and at the end of the day we might learn something from them, as they have abundant creativity.