Did the level in the pitcher go down after the milk was poured into the paper cone?  (If you need to, review the video of the trick.)
Do you think milk was actually poured into the cone?  If yes, where did it go?
Observe the change in level in the pitcher before and after the milk is poured into the glass.  Is it what you expect, considering the amount of milk in the glass?
Do you notice any difference between the way the magician handles the pitcher when he pours the milk into the paper cone and when he pours it into the cup?