When you work with SWFMill, using a simple XML, there is an attribute named version in the movie tag, that enables you to set the SWF version.You have to set it to 9, when building a Flash 9 application.
If you're working with MovieClips inside MovieClips, when you set the place tag, don't forget to set the name attribute (movieClips's name on the scene). Then you have to declare a movieClip variable with the same name, inside the class, that have the same name as the parent MovieClip (its linkage).
Of course, working with flex, or Flash CS3, the compiler does all that by itself, but I'm using Haxe and SWFMill, and had some strange run-time errors, trying for the first time using SWFMill for Flash 9.
I hope this post can help someone, if you want more informations, let a comment