The reason frozen milk tastes bad is because when you freeze milk the fat content and the water separates in the milks mixture.
When milk is frozen the top part of the milk then becomes white and creamy and tastes 'richer', whereas the bottom part tastes diluted, and the thickness or body given by the milk solids you don't get anymore as it is stuck to the bottom of the container.
So you get a bad taste because you're tasting most of the fat content on top and tasting a diluted portion of the milk towards the bottom.
Milk can be frozen but it's not recommended to freeze milk because milk is not really meant to be frozen.
Even when frozen and thawed frozen and thawed milk is still safe to drink and should not make you sick although the frozen milk tastes bad.