All adult mammals are lactose intolerant. All of them. Dogs. Cats. Even cows.
People have the notion fixed in their heads that the best food to serve a hungry animal is milk. That may be true if a nursing baby animal is involved, but not at all a good idea when it comes to adults or even young animals beyond the nursing stage.
And yes, that's true for hedgehogs as well. As we see in this article by Rebecca Connop Price.
Hedgehogs are at serious risk if they cannot gain enough weight to survive the winter, so the autumn months are a crucial time for them. ...
During September and October, baby hedgehogs, called hoglets, need to gain as much weight as possible.
People can help by placing bowls of food in their gardens.
It is a common misconception that milk is good for hedgehogs; in fact, they are lactose intolerant and it can give them diarrhoea, which is potentially deadly.
In the wild, hedgehogs are meat eaters and their diet consists mainly of bugs, including beetles, earthworms and caterpillars.
For this reason, the BHPS [British Hedgehog Preservation Society. Really.] recommends cat food as a food supplement.