I suggest that you look at your inner you. If you're a real geek and enjoy technical things, then you will eventually move to all-grain since it allows multiple layers of geekness. If you're looking to increase your brewing enjoyment, then kegging is a must. I have to admit that bottling is the biggest drag in all of brewdom.

I've moved in both directions since I'm a geeky slacker!

Milk Stout is probably best fresh, but yeast shouldn't be any issue if it sits longer. Sugar from the lactose won't continue to ferment if that was you concern. Once TG is reached should be good to go.

As for kegging no need to filter to have great crystal clear beer. That's one of the great things about it. Yeast drops out to the bottom, keg system pulls from the bottom. first half pint to pint cloudy, clear beer after that!! Another nice thing is the ability to add things like dry hopps, fruit, or spices directly to the keg using a special lid like this http://morebeer.com/view_product/18214/102295/Cornelius_Keg_Lid_with_Welded_Tab Love my kegging system, and though the control that all grain gives you is awsome, the thing that has improved my beer most is brewing more and kegging definately helped me more than all grain there.

As for only having only yourself to drink it all, "ahhh, poor you!" Actually there's no real difference. Unless you are really looking at putting some age on something, beer last as long in a keg as bottles. Storage for unpasturized beer in bottles or keg should be refigerated so no real difference there. Of course I will warn you kegging will up your consumtion a few pints a day!