The former England goalkeeper saved Steve Howard's 21st-minute penalty before substitutes Brett Pitman and David Clarkson fired the hosts to victory.
Millen said: "That was a big moment in the game. Perhaps I got it wrong tactically in the first half, but our main problem was that we kept giving the ball away.
"We sent on Brett Pitman as a second striker after the break because we needed to cause Leicester more problems going forward.
"The lads had battled hard to stay in the game and it was great for us that two strikers went on as replacements and both scored."
Source: PA
Source: PA