How can I make milestones (also known as phases) in a BPMN project in Visio?
Here is an example in Bizagi. See the vertical dashed lines.
It seems you are looking for a "Phase" (separator) thing in BPMN. The BPMN template in Visio is based on the "cross-functional flowchart" template.
To add a separator (phase) in Visio BPMN, you open the "cross-functional flowchart" tab, and click the "Separator" button on the ribbon, this should add a vertical line similar to the milestone in Bizagi.