Yes. If you were a guest booked by a TV station to go to "Millbank" you'd expect to be going to No. 4 Millbank, where the BBC, ITN and Sky operations are based. If you clarified with "Millbank Studios" then you definitely meant No.4 Millbank. I think there may be a bookable down-the-line studio there too, which is used by other broadcasters.
Millbank Tower, which at one point housed the HQ of the Labour Party, is a different, much bigger building.
Sounds like the RT guest booker was a bit of an amateur. Who knows if they were even based in London... They could have been booking for a Moscow-based show as a down-the-line, and not realised Millbank isn't a building, but a long road on the riverside.
And the booker didn't have much of a conversation with him to clarify---let alone get his name right for security.
Formerly knows as "asnycBBC"