CNC milling causes residual stresses in metals. So, after CNC milling of a metal part, say aluminium, do all manufacturers (I'm not referring to any specific manufacturer, just generally) heat treat such parts parts after milling?
No. CNC machining is done in a huge variety of industries and applications, many of which do not benefit from heat treatment.
CNC machining - and metal cutting in general - is an incredibly broad technology. It is used frequently in demanding industries and applications, and many of these (aerospace, performance sports, power generation) do benefit from heat treatment post-processes. But CNC machining is also used in low value and low volume applications, and heat treatment is often overkill or even destructive there. For instance, CNC machining is used to create sacrificial parts (like soft jaws) which are used once and then discarded; it would be a waste of time and resources to heat treat these, and doing so might result in damage to the final part (which is meant to be held gently in a soft material).
Even if you narrowed your question to a specific industry or application, the reality is that heat treating (or any other technology, for that matter) is only applied to a subset of the parts in that field.