If we are talking tea from a tea bag, then; Bag in Cup, Water in, then milk. However... if we are talking tea from a tea pot (where the tea is already mashed in the pot), then it makes no difference.
When making tea in the pot I used to put milk in my cup first the ass the tea from the teapot.
I never use a teapot anymore and always make it with a teabag in cup. This was the milk goes in last.