Like some other people have mentioned here I think that the answer is really it depends. Of course, if a milestone that has been properly set (takes into account what is possible/resources to achieve) is missed then there is a bit of a problem. Since that goal was supposed to be achievable, if it is missed the priority becomes finding out why it was missed and what can be done to recoup any losses (money/time/progress/etc). Now if this happens once in a blue moon, then that is understandable, things happen that even the most well planned goals cannot take into account. However if a pattern develops where milestones are consistently being missed then there is either a problem in the utilization of resources, a miscalculation in setting the milestone, or both!
That aside, it also greatly depends on the importance of the project that is being done. If this is some low level project that is not really a money maker for the company, then a milestone missed here or there is not going to tank the project. However, if this is something that is a big money maker, a new launch, or something else important of the sort, then it really DOES matter if you miss a milestone in the eyes of management. Mistakes tend to be less forgivable when more is at stake.