"But he has always behaved impeccably. He's a fantastic professional, and there's no doubt about it, they've got an outstanding player and we have got to move on."
Villa tried to buy Milner two years ago, but the deal fell through at the last moment after Newcastle failed at the time to sign Mark Viduka.
O'Neill was delighted with the acquisition, however, and said: "James has got a great spirit about him and I definitely think his best years are in front of him.
"It was disappointing two years ago not to sign him when we thought the deal with done and dusted but it is nice to have got it all sorted this time."
The Irishman is confident of another signing before the transfer deadline and added: "We are going to try and do something else if we can. The club owner Randy Lerner has been fantastic with his support.
"We've decided to give things a real go this summer and I am pleased with the players we have got in - plus managing to keep Gareth Barry."
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