I seem to recall that the characters implied, or maybe they even said that Millicent wasn't a first cousin. I know that it wasn't frowned upon to marry first cousins even in the Victorian age, and this was even further back than that. I'm not sure when people figured out that you probably shouldn't marryyour first cousin, or when the law started to prohibit the practice.
I'm not sure if Millicent and Daniel were 1st, 2nd or even 3rd cousins. I *do* recall a present day episode, possibly pre-1795, where Julia tells someone (Dave Woodard perhaps?) that she at least considered the entire Collins clan to be rather "imbred", LOL!