Guy specifically said that "Milim would have a plan of her own". So at the very least he doesn't think Milim is threatened to any real extent. But yes, fellow demon lords are allowed to join fights.

I wonder how Veldora got here though. Neither Rimuru nor Veldora seemed to have willed it consciously.

Right now I'd bet it was his sister and she'll make up an excuse like "I went to summon my idiot brother but chucked him in your field instead. Whoops (not whoops)."