In my opinion, millet gets a bad rap. Millet is NOT bad. Too much millet is bad. Just like seeds are not bad, but too much seed is bad.
Good nutrition is all about diversity, balance, and moderation. A diet that is heavy in millet is bad for budgies, but cutting millet out of their diet completely isn't necessary or even a good idea. Millet has a lot of good nutrition to offer. The same is true for many seeds.
The key is providing an appropriate amount of seed, so that your bird will have room for other good things, like fresh greens, sprouts, and other veggies, as well as pellets.
Sesame seeds are fine in moderation, but not in excess. Like other seeds, they are loved by grainivores, but do not provide a balanced diet by themselves so you don't want your bird to "fill up" on too much seed.