I've kept a few different species of millies in the past, and currently have a few Puerto Rican species. lol, I know exactly what you mean. I'd get my mils to juice me during presentations I'd do at local schools. Mine wouldn't hurt my hand, but the fumes would burn my eyes and nose, and it smelled horrible.
The juice is actually a poison, one of the ingredients is Hydrogen cyanide. The pede has several chambers containing chemicals in its body, and each little chamber is connected to a bigger one containing another chemical. When stressed, the chambers all open, releasing the chemicals to combine in a chemical reaction that also propels the liquid out through pores in the sides.
Lemurs in Madagascar have learned to use the toxin as an effective insect repellant. They gently bite millipedes and rub the pede all over their fur, as well as slobber their now toxic saliva all over themselves. The millipede gets away unharmed, and the lemurs get high off the toxins.