Thundering, it's so true, this loss of the art of the letter. I taught my kids cursive writing because it was "optional" in their public schools. They had a hard time reading Grandma's letters and that's when it became a non-negotiable.
I'm not sure about skills lost specifically to millennials but I lament the loss of the home arts -- gardening, cooking, canning, other types of food preservation, sewing, making music for entertainment. I've managed to teach my children the basics and I'm happy to see them exploring these things on their own now that they are older, and they are discovering that perhaps these old-fashioned things are really useful to know.