PETA goes off on a strange tangent by saying that dairy milk helps make Santa fat and raise his cholesterol levels. The difference in calorie count for the fat-free version of each is pretty much negligible, and latest studies are showing that dietary cholesterol doesn't necessarily contribute to blood cholesterol levels.
As with everything in the world of food, there are opposing camps on this whole issue. Some think that we were never meant to drink milk; after all, people only developed the ability to digest lactose somewhere from 2,000 to 20,000 years ago and only a little more than a third of the world's population has the ability to digest it now -- largely people in northern and central Europe, though there are pockets of lactose tolerance elsewhere.
Others point to scientific evidence that we're taking in too much soy, to the detriment of our health.
Of course, it's unclear to what extent Santa would care about PETA's priority of avoiding the domestication of herd animals for human use. This is a guy who puts those poor reindeer in harness every year, pulling that heavy sleigh all over the world.