A stoppage-time goal cruelly denied the Blades all three points at Bramall Lane on Saturday.
Gary Madine's first Blades goal at the Kop end looked to have secured a deserved win, until Jake Cooper scored in the final minute of added time, after John Egan had been sent off and Ben Marshall had missed a penalty.
For the clash against the Lions, Wilder made two changes. The fit again O'Connell returned to the starting XI, as did Freeman, with Cranie and Baldock dropping to the bench.
United were typically on the front foot from the off, but Martin was equal to Duffy's shot in the second minute. Millwall responded by winning a corner and Pearce fired wide at the back post from Ferguson's centre. On 15 minutes there was some concern for Basham, as he was forced to receive treatment, but thankfully he was able to return to the action
Five minutes, United fashioned the best chance of the game, Duffy's initial cross was blocked, but Freeman's delivery found the head Stevens, but unfortunately, he didn't make a clean contact with the ball. Moments later, Basham was forced off, with Madine taking his place.
On the half hour, McGoldrick looked to be the Blades spark, but having advanced towards goal his curling effort flew inches over the bar with Martin stranded. It was the Blades who continued to look the likeliest to opening the scoring, but the ball just wouldn't bounce favourably. Firstly, Stevens saw an attempted cross deflected wide, before Freeman's shot bounced off McLaughlin and into Martin's hands, with Sharp ready to pounce.
Three minutes of added time were signalled, but despite the Blades best efforts, Millwall saw the half out, despite Madine heading over at the back post.
Inside four minutes of the restart, United had forced three corners, in addition to McGoldrick and Madine having goal bound efforts blocked by Cooper and McLaughlin. But the visitors were powerless in United's next attack, as Fleck burst through on goal from McGoldrick's pass and unselfishly squared to MADINE who stroke the ball home in front of the Kop.
Millwall went forward in search of an equaliser, but Freeman's excellent block prevented a goal, despite the Lions forcing a couple of corners. Wallace and Fleck were then booked in quick succession, for fouls that stopped a quick break for each team. The Blades were then forced into another change, as Cranie replaced the injured Sharp.
With 18 minutes remaining, Coutts was introduced, replacing Duffy. There was a sharp in take of breath from three sides of the Lane, as Wallace volleyed inches wide. United broke a the other but McGoldrick fired wide, having beaten Pearce.
There were five minutes left when the drama began to unfold. Elliott's header was adjudged to have been handled on the line by the retreating Egan, who was red carded by referee Webb. But thankfully for the Blades, Marshall hit the woodwork with his spot-kick.
Five minutes of added time were signalled, and Henderson grabbed the ball at the second attempt from Cooper's header. But disaster struck for the Blades in the final minute as COOPER headed home, after Henderson had produced an excellent save to deny Elliott and that was the last action of the contest.
Blades: Henderson, Stevens, Fleck, O'Connell, Basham (Madine 21), Sharp (Cranie 64), Egan, Norwood, McGoldrick, Freeman, Duffy (Coutts 72)
Unused: Dowell, Hogan, Stearman, Moore.
Millwall: Martin, McLaughlin (Marshall 58), Cooper, Wallace, Thompson, Gregory, Ferguson, Romeo (O'Brien 81), Pearce, Tunnicliffe (Elliott 69), Leonard.
Unused: Meredith, Williams, Amos, Morison.