Why make cheese if milk is already food?

Milk rots. I'm fairly sure cheese doesn't - or at least does so at a much slower rate.

ETA: Apparently, it does rot, but cheese is ten times as valuable as the milk it was made from - and turning milk into cheese frees up the jug you were using.

... And, of course, is an extra task, meaning extra job experience.

I think cheese is worth more, as it can have quality.

And the most important reason: dwarves don't consider milk drinkable. Only booze (and water if injured) is drinkable. Cheese, on the other hand is not only eatable for your dwarves, it is also a solid food which means you can increase its value even more by cooking it into meals with much less trouble than liquid foods.