Actually, PCB milling[1] is a thing. I suppose a MPCNC can be used for that. But it still has the huge drawback that you're limited to one layer if you're lazy (like me) or two if you fell like spending the time to add manual vias - though I was told there are tools for that, which work essentially like... Err... riveting pliers? (sorry, non native speaker)
Given that multi-layer PCBs are effectively laminations of individual boards, hobbyists have already made their own multilayer boards [1]. I don't see anything particular about milling as a means of copper removal that would stop you layering up boards?
Thanks for the link, nice to know it can be done at the hobyyist-level. But it's still a lot of work I (personally) do not enjoy spending time with. If I had the space I'd probably setup my (hypothetical) MPCNC for milling PCBs, so I can do quick single layer prototypes (maybe some simple stacking using header rows), but anything more complex would still go to a fab.