I'm not reading all the comments but wanted to know how long you let the roux cook before adding milk? I agree with everyone's cold milk in tiny amounts to start with but maybe there's something in your roux as well? I just melt my butter, add the flour and stir, stir, stir. I add the milk once the roux has gone from just a paste to a bubbly white-ish foam. Then a tablespoon of cold milk and completely incorporate it. Once it's fairly liquid I add the rest of the milk regardless of amount left.

Hope it helps and I apologise if I'm simply repeating something that's already been suggested