I just wikied it, and its nothing like Dog Days, you have nothing to worry about. Leon and Milly have a sisterly friendship past, nothing more. anyone says theres more behind their friendship is just one of those people who want every anime to have yuri in it.
I dont want the day that i have to hope that the girl in a anime i like is straight or not. but Milly is definaly there on the straight train.
By not spoiling it...
Season 1: A good season (and a great start) Yuuno and Nanoha has scenes together (not romantic but its there...)
Season 2: A good season too (The NanoFate scenes started to emerge here...)
Season 3: Military themed Mahou Shoujo? Yes, and its good BTW. The problem is that the NanoFate pairing got cemented here... and unto the Manga sequels Vivid and Force... T_T