You'll likely hear various reasons, mainly though that the fresh fluid breaks up and circulates the crud that has built up.
I don't know as I've seen any official studies that came to the conclusion that it IS harmful, but I bought my truck, did a fluid change (fluid was black) and within 3500 miles the tranny had failed. Of course, that isn't concrete evidence...I had just bought it, (maybe 2-3 months of possession) so was something put in the tranny to attempt to make it last longer, was it already on it's way out due to age and lack of good fluid for a long period of time, was it abused before I got it, etc.
If fluid is milky white though, that's likely a different concern than old tranny fluid. It's probably some sort of contaminant, and while a little may not hurt, who knows how much is in there? It didn't take much water for my ATF to turn pink. You won't get all of the fluid out just doing a regular change, so it may take a few tries to get whatever is in there out, IF the problem isn't something else.