I hear that...they're definitely not cheap, especially if you don't have an optics-ready pistol. Is this red dot going on a defensive pistol, or for competition and/or fun? Mine was going to be for every day carry, and that affected my decision to get a slide-mounted red dot.
I started out looking for a red dot after getting a Glock 45 MOS with Burris Fast Fire 3. I shot better and faster than with my carry P-07 so naturally I went looking to get my slide milled. I ordered a Holosun 407c and was going send the slide and optic to get it custom fitted for that particular optic, as I read its the way to get it truly secured and in place with no gaps. In the midst of all my research, I read a few things that made me reconsider the entire proposition.
For me, a defensive handgun should be reliable, above all else. Its the reason why I went with the P-07 and why I keep my my defensive firearms as close to factory as possible. By removing part of the slide and adding an optic, the weight and distribution of the weight of the slide will be affected. This could lead cycling issues. One of my favorite YouTube gun reviewers, Honest Outlaw, has stated that he's had more cycling issues with pistols with optics compared to those without. Maybe he was using optics plates found on optic-ready pistols, which are just thin pieces of metal and tiny screws holding down the optic. There's a lot of things you can do to help mitigate the reliability issue, including use of different springs and ammo, and you may have to go through a lot more modifications to make it work. Is it worth all of that time and money to still have a lingering doubt about if it'll work in a true defensive scenario? I already had my P-07 set up and vetted, and I didn't want to go through the process again.
No doubt the best and most secure way to get the slide milled is to send the optic and the slide in so that its custom-made for that particular optic. Each optic may be ever so slightly different in dimensions, even if they're the exact same model. But what happens when you want to change optics? Maybe its defective and you need to replace it, or maybe you just don't like it anymore and want to get a different one. In every case, your custom-milled slide is no longer compatible with anything except that optic it was originally made for. So now you have to get a new slide and optic. It can get even more expensive than you originally expected.
And even though sending the slide and optic in for custom milling is the most secure way to get the optic on the slide, they still need to have the tiny screws to hold it down, which, are really unimpressive when you think of how violently the slide reciprocates. One post I read really made me reconsider. "If its so secure, then why don't you run it without the little screws?". Of course that guy was being a jerk, but is he wrong? Once again, a wobbly thing on the slide will affect the slide and its motion and over time those screws will likely loosen up.
Check out the Noblex-Docter red dot sight
https://www.thefirearmblog.com/blog/2019/05/10/noblex-docter-optics-glock/. Its self-contained, mounts directly to the MOS system and is so low that it can co-witness with stock sights. I think this is a step in the right direction but I'm personally hoping for pistols to come from the factory with slides with red dots integrated into them because they really are a great upgrade and are a lot of fun!