How long should I leave Millie on eggs.

You could try candling them to see if you can see anything, although remember it might be difficult to see anything if they are alive. 
When I hatched my first chick 3 weeks ago I never seen much when candling and I really thought none were fertile on day 20 I just happened to listen to the eggs and one was making a little chipping sound, so the next day one hatched and is doing well. 
I would guess she will give up if none are fertile and I'm not sure about how good it would be for your broody to let her sit another 21 days.
Good luck you might still get a nice surprise.