I don't want to mislead you in any case as I'm a newbie but I've been doing loads of reading as I'm quite a maniac reader. I've come across on mostly 2 cases when raw seeds etc appear on droppings:
1) the serious trouble: a stomach infection ( yeast infection I think it's called sorry english isn't my native language so it's hard to remember everything correctly )
2) the not-so-serious-trouble especially brought up with Millet seeds is that as they are so tiny they some times just suck it in by being hungry or whatever without properly digesting it, but that's something you should keep an eye out as well as it could cause choking and extra problems
To be totally honest I remember after reading the choking part I took the darn millet away and I wouldn't even care less if my birdy liked it or not.
Again no intention to mislead or freak you out, just throwing out my findings from reading here and there.
Better keep the post updated or in any case if you see anything strange on your fellow better take him to a Vet to be 150% safe.
Honey's first signal to me that she had a yeast infection was undigested seeds in her poop. It went on for a while though, if it's a one-off thing I wouldn't worry. Just give some probiotics and if it continues, a vet check-up.
You can buy special bird probiotics online, I'm not sure if pet shops will have it. Vets also have them, and my vet said it was okay to give my birds a bit of probiotics made for humans so I just open up one capsule and give a little bit of the powder mixed in with some soft food a few times a week. You can put it in water too.
He might be so excited eating millet spray that some seeds go down without being hulled first. I don't think seeds in their shells can be digested by cockatiels so they might just pass through. Some birds can swallow seeds whole and digest them without removing the outer shell (like pigeons) but as far as I know tiels have to shell them first to process them as food and not waste. If you only see seeds passing when he eats millet spray I wouldn't panic. If it happens with his regular seed-based food that would be different (but I still wouldn't panic ). Always better to go the vet-check route if you have concerns or there are other symptoms, though.
Millet shells aren't a problem, the actual seed is a lot harder than the shell is.
Another thing you can try is to add a few drops of vinegar to the drinking water. This will make the water more acid, and by drinking this the crop will become a less friendly place for microorganisms. Keep the amount of vinegar small, and make sure that the bird is still drinking water. You shouldn't do this all the time, but it's OK to do it for a week.