Milk First or Milk Last: The theory behind it.

In the teacup, two chemical reactions take place which alter the protein of the milk: denaturing and tanning.
The first, the change that takes place in milk when it is heated, depends only on temperature. 'Milk-first' gradually brings the contents of the cup up from fridge-cool. 'Milk-last' rapidly heats the first drop of milk almost to the temperature of the teapot, denaturing it to a greater degree and so developing more 'boiled milk' flavour.

The second reaction is analogous to the tanning of leather. Just as the protein of untanned hide is combined with tannin to form chemically tough collagen/tannin complexes, so in the teacup, the milk's protein turns into tannin/casein complexes. But there is a difference: in leather every reactive point on the protein molecule is taken up by a tannin molecule, but this need not be so in tea. Unless the brew is strong enough to tan all the casein completely, 'milk-first' will react differently from 'milk-last' in the way it distributes the tannin through the casein. In 'milk-first', all the casein tans uniformly; in 'milk-last' the first molecules of casein entering the cup tan more thoroughly than the last ones. If the proportions of tannin to casein are near to chemical equality, 'which-first' may determine whether some of the casein escapes tanning entirely.

There is no reason why this difference should not alter the taste.

Theory explained by Dan Lowy, Sutton, Surrey (found on google).