Hey rickster, I mean emergent,
You describe the mill exiting the hole at 45 degrees. It sounds like you are having issues with your exiting strategy (the program thinks it has safely cleared your piece when it makes the 45 degree move). Have you tried playing around with your cut transfer? Set it to "clearance plane". Another thing that always got me into trouble was that I used the bottom of the piece as the zero for my Z. Its a lot simpler to use the top of the piece as your zero Z. Doing this will allow you to use the hole machining features more easily. What kind of machining feature are you currently using for these holes (i.e. pocketing, profiling etc...)?