Indeed, but by definition the area round the nut never goes past the ends of the mating dovetail, so those bits are almost redundant. (I guess they contribute to overall rigidity)
I did mill it,but I didn't need to. The ball nut is a little longer than the original nut, and I didn't want to lose any travel. I also wanted an end-stop which prevented the nut coming off the screw. This could have been achieved by drilling a hole for the ballscrew to fit into in the existing material at the end of the slot. I haven't bothered with a support bearing at the back, just a stopper-block with a generous clearance hole for the leadscrew end.